THE TRACKING ERROR RATE OF THE DELTA-GAMMA HEDGING STRATEGY
Author:
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9965.2010.00466.x/fullpdf
Reference19 articles.
1. Brodén , M. M. Wiktorsson 2009 On the Convergence of Higher Order Hedging Schemes
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3. On Approximation of a Class of Stochastic Integrals and Interpolation;Geiss;Stoch. Stoch. Rep.,2004
4. Quantitative Approximation of Certain Stochastic Integrals;Geiss;Stoch. Stoch. Rep.,2002
5. Weak Convergence of Error Processes in Discretizations of Stochastic Integrals and Besov Spaces;Geiss;Bernoulli,2009
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