Economy – Quantitative Finance – Risk Management
Discrete time hedging in a complete diffusion market is considered. The hedge portfolio is rebalanced when the absolute difference between delta of the hedge portfolio and the derivative contract reaches a threshold level. The rate of convergence of the expected squared hedging error as the threshold level approaches zero is analyzed. The results hinge to a great extent on a theorem stating that the difference between the hedge ratios normalized by the threshold level tends to a triangular distribution as the threshold level tends to zero.
Hedging Errors Induced by Discrete Trading Under an Adaptive Trading Strategy does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.If you have personal experience with Hedging Errors Induced by Discrete Trading Under an Adaptive Trading Strategy, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Hedging Errors Induced by Discrete Trading Under an Adaptive Trading Strategy will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-32385