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q-fin.RM2010★ 2 cited
Hedging Errors Induced by Discrete Trading Under an Adaptive Trading Strategy
Mats Brodén, Magnus Wiktorsson
Discrete time hedging in a complete diffusion market is considered. The hedge portfolio is rebalanced when the absolute difference between delta of the hedge portfolio and the deri…
math.PR2010
Convergence of an Adaptive Approximation Scheme for the Wiener Process
Mats Brodén, Magnus Wiktorsson
The problem of approximating/tracking the value of a Wiener process is considered. The discretization points are placed at times when the value of the process differs from the appr…