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Asymptotically Efficient Discrete Hedging · Study

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ChapterAsymptotically Efficient Discrete Hedging

Masaaki Fukasawa2011

Chapter2011

Asymptotically Efficient Discrete Hedging

Masaaki Fukasawa

18 citations·0/0 files stored·Progress in probability

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk Management in Financial Firms

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References

2007Brownian Motion and Stochastic Calculus 1995On pathwise stochastic integration 2000When is time continuous?2005EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH 1980Limit Distributions for the Error in Approximations of Stochastic Integrals 2001Discrete time hedging errors for options with irregular payoffs 2002Quantitative approximation of certain stochastic integrals 2004Weighted BMO and discrete time hedging within the Black-Scholes model

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2020Trading with small nonlinear price impact

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2009Weak convergence of error processes in discretizations of stochastic integrals and Besov spacesarticle · 6 shared references 2008Asymptotic analysis of hedging errors in models with jumpsarticle · 5 shared references 2005On an approximation problem for stochastic integrals where random time nets do not helparticle · 5 shared references 2011TRACKING ERRORS FROM DISCRETE HEDGING IN EXPONENTIAL LÉVY MODELSarticle · 5 shared references 2010On the Microstructural Hedging Errorarticle · 5 shared references 2011Discretization error of stochastic integralsarticle · 4 shared references

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Year2011

Typechapter

Published2011-01-01

VenueProgress in probability

ISSN-L1050-6977

Languageen

Citations18

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-0348-0097-6_19

openalex_workW141527044

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