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Search: subject:"Variance Of Replication Error"
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Black-SCHOLES Model
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Discrete Hedging
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Multidimensional Optimal Stopping Problems
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Optimality Criterion
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Variance Of Replication Error
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Trabelsi, Faouzi
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Trad, Abdelhamid
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Applied Mathematical Finance
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L 2 -discrete hedging in a continuous-time model
Trabelsi, Faouzi
;
Trad, Abdelhamid
- In:
Applied Mathematical Finance
9
(
2002
)
3
,
pp. 189-217
hedging times and ratios which allow one to minimize the
variance
of
replication
error
is considered. For given N rebalancing …
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