Asymptotically Efficient Discrete Hedging

DOI10.1007/978-3-0348-0097-6_19zbMath1246.91130OpenAlexW141527044MaRDI QIDQ2909990

Masaaki Fukasawa

Publication date: 7 September 2012

Published in: Stochastic Analysis with Financial Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-0348-0097-6_19

zbMATH Keywords

stopping timeasymptotic efficiencyRiemann sumdiscrete hedging

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) (L^p)-limit theorems (60F25)

Related Items (9)

Optimal discretization of stochastic integrals driven by general Brownian semimartingale ⋮ Trading with small nonlinear price impact ⋮ Efficient discretization of stochastic integrals ⋮ Asymptotically optimal discretization of hedging strategies with jumps ⋮ Optimal Discretization of Hedging Strategies with Directional Views ⋮ Almost sure optimal hedging strategy ⋮ Optimal Hedging of a Perpetual American Put with a Single Trade ⋮ On fractional smoothness and \(L_{p}\)-approximation on the Gaussian space ⋮ Asymptotics for fixed transaction costs

Cites Work

• Asymptotic analysis of hedging errors in models with jumps
• Limit distributions for the error in approximations of stochastic integrals
• On pathwise stochastic integration
• EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
• Quantitative approximation of certain stochastic integrals
• Discrete time hedging errors for options with irregular payoffs
• Unnamed Item

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