On the Convergence of Higher Order Hedging Schemes: The Delta-Gamma Case
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
http://epubs.siam.org/doi/pdf/10.1137/090779905
Reference9 articles.
1. When is time continuous?
2. The Pricing of Options and Corporate Liabilities
3. Discretely adjusted option hedges
4. Bounds for the transition density of time-homogeneous diffusion processes
5. Quantitative approximation of certain stochastic integrals
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