Asymptotic analysis of hedging errors in models with jumps

Stochastic Processes and their Applications

Volumn 119, Issue 6, 2009, Pages 2004-2027

  Tankov, Peter ^a   Voltchkova, Ekaterina ^b  

^a CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

^b TOULOUSE SCHOOL OF ECONOMICS   (France)

Author keywords

Discrete hedging; L vy process; Weak convergence

Indexed keywords

DISCRETE HEDGING; DISCRETIZATION; HEDGING ERRORS; INCOMPLETE MARKETS; JUMP-DIFFUSION MODELS; LIMIT THEOREMS; OPTIMAL PORTFOLIOS; OPTION HEDGING; TRANSACTION COSTS; WEAK CONVERGENCE;

ASYMPTOTIC ANALYSIS;

EID: 64549129187     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2008.10.002     Document Type: Article

References (20)

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