• 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