Pages that link to "Item:Q681037"
From MaRDI portal
The following pages link to On discrete time hedging errors in a fractional Black-Scholes model (Q681037):
Displaying 12 items.
- A correction note to ``Discrete time hedging errors for options with irregular payoffs'' (Q468422) (← links)
- Local parametric analysis of hedging in discrete time (Q1372930) (← links)
- Weighted BMO and discrete time hedging within the Black-Scholes model (Q1775518) (← links)
- Dynamic hedging based on fractional order stochastic model with memory effect (Q1793474) (← links)
- Asymptotics for discrete time hedging errors under fractional Black-Scholes models (Q2322589) (← links)
- Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates (Q2671516) (← links)
- Delta-hedging in fractional volatility models (Q2694770) (← links)
- EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH (Q3370590) (← links)
- Modification terms to the Black–Scholes model in a realistic hedging strategy with discrete temporal steps (Q5031707) (← links)
- Asymptotic analysis for hedging errors in models with respect to geometric fractional Brownian motion (Q5086430) (← links)
- Distribution of Discrete Time Delta-Hedging Error via a Recursive Relation (Q5372053) (← links)
- The asymptotic expansion of the regular discretization error of Itô integrals (Q6054137) (← links)
