Evaluating hedging errors: An asymptotic approach

Mathematical Finance

Volumn 15, Issue 2, 2005, Pages 309-343

  Hayashi, Takaki ^a   Mykland, Per A ^b  

^a Och Spine at New York Presbyterian Hospitals   (United States)

^b UNIVERSITY OF CHICAGO   (United States)

Author keywords

Delta hedging; Incomplete market; Model uncertainty; Nonparametric regression; Weak convergence

Indexed keywords

EID: 17444363812     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.0960-1627.2005.00221.x     Document Type: Article

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