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Evaluating Hedging Errors: An Asymptotic Approach

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  • Takaki Hayashi
  • Per A. Mykland
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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.0960-1627.2005.00221.x
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    Bibliographic Info

    Article provided by Wiley Blackwell in its journal Mathematical Finance.

    Volume (Year): 15 (2005)
    Issue (Month): 2 ()
    Pages: 309-343

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    Handle: RePEc:bla:mathfi:v:15:y:2005:i:2:p:309-343

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    Cited by:
    1. Pirjetä, Antti & Ikäheimo, Seppo & Puttonen, Vesa, 2010. "Market pricing of executive stock options and implied risk preferences," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 394-412, June.
    2. Takafumi Amaba, 2014. "A Discrete-Time Clark-Ocone Formula for Poisson Functionals," Asia-Pacific Financial Markets, Springer, vol. 21(2), pages 97-120, May.
    3. Fahlenbrach, Rudiger & Sandas, Patrik, 2005. "Co-movements of Index Options and Futures Quotes," Working Paper Series 2006-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    4. Mats Brod\'en & Magnus Wiktorsson, 2010. "Hedging Errors Induced by Discrete Trading Under an Adaptive Trading Strategy," Papers 1004.4526, arXiv.org.
    5. Masaaki Fukasawa, 2010. "Discretization error of Stochastic Integrals," Papers 1004.2107, arXiv.org.
    6. Balder, Sven & Brandl, Michael & Mahayni, Antje, 2009. "Effectiveness of CPPI strategies under discrete-time trading," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 204-220, January.
    7. Carol Alexandra & Leonardo M. Nogueira, 2005. "Optimal Hedging and Scale Inavriance: A Taxonomy of Option Pricing Models," ICMA Centre Discussion Papers in Finance icma-dp2005-10, Henley Business School, Reading University, revised Nov 2005.
    8. Masaaki Fukasawa, 2012. "Efficient Discretization of Stochastic Integrals," Papers 1204.0637, arXiv.org.

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