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Discrete time hedging errors for options with irregular payoffs

Emmanuel Gobet, E. Temam

Finance and Stochastics · 2001 · 70 citations · 2 references

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References

Concepts

BusinessFinanceFinancial ManagementDecision AnalysisFinancial EconomicsStochastic ProcessesHedgingNumerical Methods In FinanceOption PricingOption Pricing ModelsOptions MarketsRisk PreferencesDiscrete-time ModelsHedging Error AnalysisOption Pricing Under UncertaintyOptions-based Hedging

References

2

Limit Distributions for the Error in Approximations of Stochastic Integrals

Holger Rootzén · The Annals of Probability · 1980 · 80 citations · Full text

Engineering, Mathematics, Probability Theory +11

Smooth Transition Densities for One-Dimensional Diffusions

L. C. G. Rogers · Bulletin of the London Mathematical Society · 1985 · 76 citations · Full text

Engineering, Physics, Stochastic Processes +12