On discrete time hedging in d-dimensional option pricing models

Details On discrete time hedging in d-dimensional option pricing models On discrete time hedging in d-dimensional option pricing models

2007-03-16

arxiv.org/abs/math/0703481v1

Mathematics

Probability

Scientific paper

We study the approximation of certain stochastic integrals with respect to a d-dimensional diffusion by corresponding stochastic integrals with piece-wise constant integrands. In finance this corresponds to replacing a continuously adjusted portfolio by discretely adjusted one. The approximation error is measured with respect to $L^2$ and it is shown that under certain assumptions the approximation rate is $n^{-1/2}$ when one optimizes over deterministic but not necessarily equidistant time-nets.

Affiliated with

Also associated with

No associations

Rating

On discrete time hedging in d-dimensional option pricing models 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 On discrete time hedging in d-dimensional option pricing models, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and On discrete time hedging in d-dimensional option pricing models will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-679922