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Discrete time hedging errors for options with irregular payoffs · Study

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ArticleDiscrete time hedging errors for options with irregular payoffs

Emmanuel Gobet A2001

Article2001

Discrete time hedging errors for options with irregular payoffs

Emmanuel Gobet A · E. Temam

72 citations·0/0 files stored·Finance and Stochastics

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

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References

1999Continuous Martingales and Brownian Motion 1976Stochastic Differential Equations and Applications 1980Limit Distributions for the Error in Approximations of Stochastic Integrals

Cited by

2004Delta-hedging vega risk?2002Quantitative approximation of certain stochastic integrals 2010L2 -time regularity of BSDEs with irregular terminal functions 2004On approximation of a class of stochastic integrals and interpolation 2004Weighted BMO and discrete time hedging within the Black-Scholes model 2008Asymptotic analysis of hedging errors in models with jumps 2012Generalized fractional smoothness and Lp -variation of BSDEs with non-Lipschitz terminal condition 2009Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces

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Year2001

Typearticle

Published2001-07-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations72

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/pl00013539

openalex_workW2003122452

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