Hedging errors induced by discrete trading under an adaptive trading strategy
Brodén, Mats; Wiktorsson, Magnus (2008). Hedging errors induced by discrete trading under an adaptive trading strategy . Fifth World Congress Bachelier Finance Society. London, United Kingdom
Conference Abstract
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Published
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English
Authors:
Brodén, Mats
;
Wiktorsson, Magnus
Department:
Mathematical Statistics
Mathematical Finance-lup-obsolete
Financial Mathematics Group
Research Group:
Mathematical Finance-lup-obsolete
Financial Mathematics Group
Keywords:
rate of convergence ;
Discrete time hedging ;
hedging error ;
triangular distribution
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