On the Convergence of Higher Order Hedging Schemes: The Delta-Gamma Case
(2011) In SIAM Journal on Financial Mathematics 2. p.55-78- Abstract
- 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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/1784969
- author
- Wiktorsson, Magnus LU and Brodén, Mats LU
- organization
- publishing date
- 2011
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- rate of convergence, discrete time hedging, delta-gamma hedging
- in
- SIAM Journal on Financial Mathematics
- volume
- 2
- pages
- 55 - 78
- publisher
- Society for Industrial and Applied Mathematics
- external identifiers
-
- scopus:84871069624
- ISSN
- 1945-497X
- DOI
- 10.1137/090779905
- language
- English
- LU publication?
- yes
- id
- 68ac41f3-e748-47f8-8fb9-7da89bdaa5eb (old id 1784969)
- date added to LUP
- 2016-04-01 13:54:39
- date last changed
- 2024-01-09 20:30:59
@article{68ac41f3-e748-47f8-8fb9-7da89bdaa5eb, abstract = {{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.}}, author = {{Wiktorsson, Magnus and Brodén, Mats}}, issn = {{1945-497X}}, keywords = {{rate of convergence; discrete time hedging; delta-gamma hedging}}, language = {{eng}}, pages = {{55--78}}, publisher = {{Society for Industrial and Applied Mathematics}}, series = {{SIAM Journal on Financial Mathematics}}, title = {{On the Convergence of Higher Order Hedging Schemes: The Delta-Gamma Case}}, url = {{http://dx.doi.org/10.1137/090779905}}, doi = {{10.1137/090779905}}, volume = {{2}}, year = {{2011}}, }