This short note corrects an error (a factor is missing) in two formulas related to L <Superscript>2</Superscript>-limits, established in “Discrete time hedging errors for options with irregular payoffs” by E. Gobet and E. Temam, Finance and Stochastics, 5, 357–367 (<CitationRef CitationID="CR6">2001</CitationRef>). Copyright Springer-Verlag Berlin Heidelberg...</citationref></superscript>

In a complete market with a constant interest rate and a risky asset, which is a linear diffusion process, we are interested in the discrete time hedging of a European vanilla option with payoff function f. As regards the perfect continuous hedging, this discrete time strategy induces, for the...