On the Convergence of Higher Order Hedging Schemes: The Delta-Gamma Case

Magnus Wiktorsson, Mats Brodén

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4 Citeringar (SciVal)

Sammanfattning

Hedging errors induced by discrete rebalancing of the hedge portfolio of a delta-gamma hedging strategy are investigated. The rate of convergence of the expected squared hedging error as the number of adjustments of the hedge portfolio goes to infinity is analyzed. It is found that the delta-gamma strategy produces higher convergence rates than the usual delta strategy.
Originalspråkengelska
Sidor (från-till)55-78
TidskriftSIAM Journal on Financial Mathematics
Volym2
DOI
StatusPublished - 2011

Ämnesklassifikation (UKÄ)

  • Sannolikhetsteori och statistik

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