Convergence rate for the hedging error of a path-dependent example

Dario Gasbarra, Anni Laitinen

We consider a Brownian functional $F=g({\int }_0^T\eta (s)d{W}_s)$ with $g\in L_2(\gamma )$ and a singular deterministic $\eta$. We deduce the $L_2$-convergence rate for the approximati…