A correction note to ``Discrete time hedging errors for options with irregular payoffs

DOI10.1007/s00780-014-0226-yzbMath1301.60066OpenAlexW2095127052MaRDI QIDQ468422

Emmanuel Gobet

Publication date: 7 November 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-014-0226-y

zbMATH Keywords

rate of convergencediscrete time hedgingapproximation of stochastic integrals

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05) Rate of convergence, degree of approximation (41A25)

Cites Work

• Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition
• Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces
• Interpolation and approximation in \(L_{2}(\gamma )\)
• \(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions
• Smooth Transition Densities for One-Dimensional Diffusions
• On approximation of a class of stochastic integrals and interpolation
• Discrete time hedging errors for options with irregular payoffs

This page was built for publication: A correction note to ``Discrete time hedging errors for options with irregular payoffs