most citedOn discrete time hedging in d-dimensional option pricing models

6 citations · 6 across the 1 of their papers we have counts for

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1 paper

math.PR2007★ 6 cited

On discrete time hedging in d-dimensional option pricing models

Mika Hujo

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 f…