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THE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGY · Study

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ArticleTHE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGY

Emmanuel Gobet A2009

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Articlegreen2009

THE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGY

Emmanuel Gobet A · Azmi Makhlouf

22 citations·0/0 files stored·Mathematical Finance

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

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References

2016“Options, Futures, and Other Derivatives”1998Methods of Mathematical Finance 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER 1998Methods of Mathematical Finance 2008Options, futures and other derivatives 1999Applications of Malliavin calculus to Monte Carlo methods in finance 1998Robustness of the Black and Scholes Formula 1997On Leland's strategy of option pricing with transactions costs

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Year2009

Typearticle

Published2009-01-01

VenueMathematical Finance

ISSN-L0960-1627

Languageen

Citations22

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1111/j.1467-9965.2010.00466.x

openalex_workW3123841841

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