Hedging errors induced by discrete trading under an adaptive trading strategy

Mats Brodén, Magnus Wiktorsson

Research output: Contribution to conferenceAbstractpeer-review

Original languageEnglish
Publication statusPublished - 2008
EventFifth World Congress Bachelier Finance Society - London, United Kingdom
Duration: 2008 Jul 15 → …

Conference

ConferenceFifth World Congress Bachelier Finance Society
Country/TerritoryUnited Kingdom
CityLondon
Period2008/07/15 → …

Subject classification (UKÄ)

  • Probability Theory and Statistics

Keywords

  • rate of convergence
  • Discrete time hedging
  • hedging error
  • triangular distribution

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