Weighted BMO and discrete time hedging within the Black-Scholes model

DOI10.1007/s00440-004-0389-0zbMath1067.60027OpenAlexW2037269023WikidataQ110038067 ScholiaQ110038067MaRDI QIDQ1775518

Stefan Geiss

Publication date: 3 May 2005

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00440-004-0389-0

zbMATH Keywords

geometric Brownian motionstochastic integralJohn-Nirenberg theoremquantitative approximation

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)

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Cites Work

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• Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times
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• $BMO_ψ$-spaces and applications to extrapolation theory
• Quantitative approximation of certain stochastic integrals
• Discrete time hedging errors for options with irregular payoffs