Asymptotically optimal discretization of hedging strategies with jumps

Annals of Applied Probability

Volumn 24, Issue 3, 2014, Pages 1002-1048

  Rosenbaum, Mathieu ^a   Tankov, Peter ^b  

^a SORBONNE UNIVERSITÉ   (France)

^b UNIVERSITÉ PARIS DESCARTES   (France)

Author keywords

Asymptotic optimality; Blumenthal getoor index; Discretization of stochastic integrals; Hitting times; Option hedging; Semimartingales with jumps

Indexed keywords

EID: 84899538558     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/13-AAP940     Document Type: Article

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