Efficient discretization of stochastic integrals

DOI10.1007/s00780-013-0215-6zbMath1307.60070arXiv1204.0637OpenAlexW2156170283MaRDI QIDQ471177

Masaaki Fukasawa

Publication date: 14 November 2014

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

Full work available at URL: https://arxiv.org/abs/1204.0637

zbMATH Keywords

asymptotic efficiencykurtosisskewnessItō integralRiemann sumdiscrete hedging

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Financial applications of other theories (91G80) Stochastic integrals (60H05) Portfolio theory (91G10)

Related Items

A scaling limit for utility indifference prices in the discretised Bachelier model ⋮ Simple bounds for utility maximization with small transaction costs ⋮ Trading with small nonlinear price impact ⋮ Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps ⋮ Perfect hedging under endogenous permanent market impacts ⋮ Optimal Discretization of Hedging Strategies with Directional Views ⋮ On fractional smoothness and \(L_{p}\)-approximation on the Gaussian space ⋮ Asymptotics for fixed transaction costs

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces
• Discretization error of stochastic integrals
• Mean square error for the Leland-Lott hedging strategy: convex pay-offs
• Realized volatility with stochastic sampling
• Asymptotic analysis of hedging errors in models with jumps
• Limit distributions for the error in approximations of stochastic integrals
• Martingale laws, densities and decomposition of Föllmer-Schweizer
• Simulation of a space-time bounded diffusion
• Liquidity risk and arbitrage pricing theory
• On pathwise stochastic integration
• Asymptotically optimal discretization of hedging strategies with jumps
• On an approximation problem for stochastic integrals where random time nets do not help
• Almost sure optimal hedging strategy
• Asymptotically Efficient Discrete Hedging
• EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
• Robustness of the Black and Scholes Formula
• Optimal hedging of options with small but arbitrary transaction cost structure
• An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
• European Option Pricing with Transaction Costs
• Discrete time hedging errors for options with irregular payoffs

This page was built for publication: Efficient discretization of stochastic integrals