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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…
q-fin.RM2010
Tracking errors from discrete hedging in exponential Lévy models
Mats Brodén, Peter Tankov
We analyze the errors arising from discrete readjustment of the hedging portfolio when hedging options in exponential Levy models, and establish the rate at which the expected squa…