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A moment computation algorithm for the error in discrete dynamic hedging · Study

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ArticleA moment computation algorithm for the error in discrete dynamic hedging

James A. Primbs2005

Article2005

A moment computation algorithm for the error in discrete dynamic hedging

James A. Primbs · Yuji Yamada

16 citations·0/0 files stored·Journal of Banking & Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1973The Pricing of Options and Corporate Liabilities 1976Option pricing when underlying stock returns are discontinuous 1985Option Pricing and Replication with Transactions Costs 2006Paul Wilmott on Quantitative Finance 1991Mean-Variance Hedging in Continuous Time 2003Options, futures & other derivatives 1995Variance-Optimal Hedging in Discrete Time 1980Discretely adjusted option hedges

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2001Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approacharticle · 7 shared references 1997Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Modelreport · 6 shared references 2009Measuring the error of dynamic hedging: a Laplace transform approacharticle · 6 shared references 1995072103 (E50, M20) Option pricing by Esscher transformsarticle · 5 shared references 2012Dynamic Hedging in Incomplete Markets: A Simple Solutionarticle · 5 shared references 2010An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costsarticle · 5 shared references

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Year2005

Typearticle

Published2005-06-28

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations16

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jbankfin.2005.04.015

openalex_workW1999817396

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