Optimal Discretization of Hedging Strategies with Directional Views-Reference-Cited by-同舟云学术

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Optimal Discretization of Hedging Strategies with Directional Views

Published:2016-01 Issue:1 Volume:7 Page:34-69
ISSN:1945-497X
Container-title:SIAM Journal on Financial Mathematics
language:en
Short-container-title:SIAM J. Finan. Math.

Author:

Cai Jiatu,Fukasawa Masaaki,Rosenbaum Mathieu,Tankov Peter

Funder

Ministry of Education and Science of the Russian Federation

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Finance,Numerical Analysis

Link

http://epubs.siam.org/doi/pdf/10.1137/151004306

Reference13 articles.

1. When is time continuous?

2. Discretization error of stochastic integrals

3. Efficient discretization of stochastic integrals

4. Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A scaling limit for utility indifference prices in the discretised Bachelier model;Finance and Stochastics;2022-03-01

2. Optimal Hedging of a Perpetual American Put with a Single Trade;SIAM Journal on Financial Mathematics;2021-01

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