Title of article
Stochastic moment problem and hedging of generalized Black–Scholes options
Author/Authors
Bishwal، نويسنده , , Jaya P.N. Bishwal، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2011
Pages
10
From page
1271
To page
1280
Abstract
In mathematical finance one is interested in the quadratic error which occurs while replacing a continuously adjusted portfolio by a discretely adjusted one. We first study higher order approximations of stochastic integrals. Then we apply the results to quantify quadratic error which occurs in estimating the discretely adjusted hedging risk in pricing European options in a generalized Black–Scholes market.
Keywords
Itô stochastic differential equation , approximation , Fisk–Stratonovich integral , Discrete time hedging
Journal title
Applied Numerical Mathematics
Serial Year
2011
Journal title
Applied Numerical Mathematics
Record number
1529758
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