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EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH - MaRDI portal

EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH (Q3370590)

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EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
scientific article

    Statements

    title
    EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH (English)
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    author
    Takaki Hayashi
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    Per Aslak Mykland
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    publication date
    8 February 2006
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    zbMATH Keywords
    delta hedging
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    weak convergence
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    incomplete market
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    model uncertainty
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    nonparametric regression
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    cites work
    Q4794153
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    Quantile hedging
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    Q4002114
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    Q4368791
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    Identifiers

    Mathematics Subject Classification ID
    91B28
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    60H10
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    60H30
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    zbMATH DE Number
    5004613
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    OpenAlex ID
    W3125983424
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