Hedging Errors Induced by Discrete Trading Under an Adaptive Trading Strategy

Economy – Quantitative Finance – Risk Management

Scientific paper

Rate now

  [ 0.00 ] – not rated yet Voters 0   Comments 0

Details

15 pages

Scientific paper

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.

No associations

LandOfFree

Say what you really think

Search LandOfFree.com for scientists and scientific papers. Rate them and share your experience with other people.

Rating

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.

Rate now

     

Profile ID: LFWR-SCP-O-32385

All data on this website is collected from public sources. Our data reflects the most accurate information available at the time of publication.