Asymptotically optimal discretization of hedging strategies with jumps

DOI10.1214/13-AAP940zbMath1302.91178arXiv1108.5940OpenAlexW3099673215MaRDI QIDQ2454402

Mathieu Rosenbaum, Peter Tankov

Publication date: 13 June 2014

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1108.5940

zbMATH Keywords

hitting timesasymptotic optimalityBlumenthal-Getoor indexoption hedgingsemimartingales with jumpsdiscretization of stochastic integrals

Mathematics Subject Classification ID

Related Items (12)

Simple bounds for utility maximization with small transaction costs ⋮ Estimation of the activity of jumps in time-changed Lévy models ⋮ Trading with small nonlinear price impact ⋮ Stability of Radner equilibria with respect to small frictions ⋮ Efficient discretization of stochastic integrals ⋮ Optimal rebalancing frequencies for multidimensional portfolios ⋮ Optimal Discretization of Hedging Strategies with Directional Views ⋮ Almost sure optimal hedging strategy ⋮ Optimal Hedging of a Perpetual American Put with a Single Trade ⋮ Asymptotics for fixed transaction costs ⋮ Optimal liquidity provision ⋮ Hedging error estimate of the american put option problem in jump-diffusion processes

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