Tracking errors from discrete hedging in exponential Lévy models
Mats Brodén; Peter Tankov
| Year of publication: |
2011
|
|---|---|
| Authors: | Brodén, Mats ; Tankov, Peter |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 14.2011, 6, p. 803-837
|
| Subject: | Exponential Lévy models | quadratic hedging | delta hedging | discretization error | L2 convergence | digital options | Hedging | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Statistischer Fehler | Statistical error |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009381005