Error distributions for random grid approximations of multidimensional stochastic integrals
DOI10.1214/12-AAP858zbMath1290.60025arXiv1108.5063OpenAlexW3104422597MaRDI QIDQ1948705
Publication date: 24 April 2013
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1108.5063
stochastic integralsapproximation errorrandom gridmultidimensional stochastic differential equationjoint weak convergencediscrete option hedgingportfolio tracking errorrandom evaluation times
Central limit and other weak theorems (60F05) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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Cites Work
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