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On an approximation problem for stochastic integrals where random time nets do not help · Study

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ArticleOn an approximation problem for stochastic integrals where random time nets do not help

Christel Geiß2005

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Articlebronze2005

On an approximation problem for stochastic integrals where random time nets do not help

Christel Geiß · Stefan Geiß

23 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Financial Markets and Investment Strategies Mathematical Approximation and Integration

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References

2007Brownian Motion and Stochastic Calculus 1989Brownian Motion and Stochastic Calculus.2001Discrete time hedging errors for options with irregular payoffs 2002Quantitative approximation of certain stochastic integrals 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 2006Interpolation and approximation in L2(γ)

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2011TRACKING ERRORS FROM DISCRETE HEDGING IN EXPONENTIAL LÉVY MODELS 2010On the Microstructural Hedging Error

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2009Weak convergence of error processes in discretizations of stochastic integrals and Besov spacesarticle · 5 shared references 2011Asymptotically Efficient Discrete Hedgingchapter · 5 shared references 2021Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEsarticle · 5 shared references 2006Interpolation and approximation in L2(γ)article · 4 shared references 2009THE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGYarticle · 4 shared references 2011TRACKING ERRORS FROM DISCRETE HEDGING IN EXPONENTIAL LÉVY MODELSarticle · 3 shared references

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Year2005

Typearticle

Published2005-11-22

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations23

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2005.10.002

openalex_workW2086316174

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