On discrete time hedging in d-dimensional option pricing models

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dc.creatorHujo, Mika
dc.date2007-03-16
dc.date.accessioned2026-07-07T07:52:21Z
dc.date.available2026-07-07T07:52:21Z
dc.descriptionWe study the approximation of certain stochastic integrals with respect to a d-dimensional diffusion by corresponding stochastic integrals with piece-wise constant integrands. In finance this corresponds to replacing a continuously adjusted portfolio by discretely adjusted one. The approximation error is measured with respect to $L^2$ and it is shown that under certain assumptions the approximation rate is $n^{-1/2}$ when one optimizes over deterministic but not necessarily equidistant time-nets.
dc.identifierhttps://arxiv.org/abs/math/0703481
dc.identifierhttp://arxiv.org/abs/math/0703481
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/125847
dc.subjectProbability
dc.subject41A25; 60H05
dc.titleOn discrete time hedging in d-dimensional option pricing models
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