THE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGY
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Publication:4906531
DOI10.1111/j.1467-9965.2010.00466.xzbMath1278.91160OpenAlexW3123841841MaRDI QIDQ4906531
Publication date: 28 February 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00466.x
Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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