On discrete time hedging in d-dimensional option pricing models
概率论
2007-05-23 v1
摘要
We study the approximation of certain stochastic integrals with respect to a d-dimensional diffusion by corresponding stochastic integrals with piece-wise constant integrands. In finance this corresponds to replacing a continuously adjusted portfolio by discretely adjusted one. The approximation error is measured with respect to and it is shown that under certain assumptions the approximation rate is when one optimizes over deterministic but not necessarily equidistant time-nets.
引用
@article{arxiv.math/0703481,
title = {On discrete time hedging in d-dimensional option pricing models},
author = {Mika Hujo},
journal= {arXiv preprint arXiv:math/0703481},
year = {2007}
}