Convergence and optimality of BS-type discrete hedging strategy under stochastic interest rate

DOI10.1007/s11425-011-4214-9zbMath1235.91161OpenAlexW2039010217MaRDI QIDQ763624

Lan Wu, Jifeng He

Publication date: 29 March 2012

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-011-4214-9

zbMATH Keywords

stochastic interest ratediscrete time hedgingdelta hedging

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)

Related Items (1)

How fast does it diverge? Discrete hedging error with transaction costs

Cites Work

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• On Leland's strategy of option pricing with transactions costs
• Leland's Approach to Option Pricing: The Evolution of a Discontinuity
• EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
• From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process¹
• Analysis of Error with Malliavin Calculus: Application to Hedging
• Quantitative approximation of certain stochastic integrals
• Discrete time hedging errors for options with irregular payoffs

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