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
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
Journal title :
Applied Numerical Mathematics