Local parametric analysis of hedging in discrete time

DOI10.1016/S0304-4076(97)00046-8zbMath0944.62095MaRDI QIDQ1372930

Peter Bossaerts, Pierre Hillion

Publication date: 26 September 2000

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Black-Scholes modellocal velocitylocal parametric estimationderivatives analysis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

Bayesian analysis of contingent claim model error ⋮ EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH

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