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A moment computation algorithm for the error in discrete dynamic hedging

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  • Primbs, James A.
  • Yamada, Yuji

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  • Primbs, James A. & Yamada, Yuji, 2006. "A moment computation algorithm for the error in discrete dynamic hedging," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 519-540, February.
  • Handle: RePEc:eee:jbfina:v:30:y:2006:i:2:p:519-540
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    References listed on IDEAS

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    1. David Heath & Eckhard Platen & Martin Schweizer, 2001. "A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 11(4), pages 385-413.
    2. Leland, Hayne E, 1985. " Option Pricing and Replication with Transactions Costs," Journal of Finance, American Finance Association, vol. 40(5), pages 1283-1301, December.
    3. Fabio Mercurio & Ton Vorst, 1996. "Option pricing with hedging at fixed trading dates," Applied Mathematical Finance, Taylor & Francis Journals, vol. 3(2), pages 135-158.
    4. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
    5. Boyle, Phelim P. & Emanuel, David, 1980. "Discretely adjusted option hedges," Journal of Financial Economics, Elsevier, vol. 8(3), pages 259-282, September.
    6. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    7. Steve Heston & Guofu Zhou, 2000. "On the Rate of Convergence of Discrete-Time Contingent Claims," Mathematical Finance, Wiley Blackwell, vol. 10(1), pages 53-75.
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    Cited by:

    1. Flavio Angelini & Stefano Herzel, 2010. "Explicit formulas for the minimal variance hedging strategy in a martingale case," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 33(1), pages 63-79, May.
    2. Antoine E. Zambelli, 2014. "Incorporating Views on Market Dynamics in Options Hedging," Papers 1411.3947, arXiv.org, revised Oct 2015.
    3. Chung, San-Lin & Shih, Pai-Ta, 2009. "Static hedging and pricing American options," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2140-2149, November.

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