Optimal discretization of hedging strategies with directional views (Q2797752)
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scientific article; zbMATH DE number 6561489
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal discretization of hedging strategies with directional views |
scientific article; zbMATH DE number 6561489 |
Statements
31 March 2016
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hedging strategies
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discretization
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delta hedging
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hitting times
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linear-quadratic optimal control problem
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asymptotic optimality
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expectation-error criterion
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semimartingales
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limit theorems
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Optimal discretization of hedging strategies with directional views (English)
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