Electronic Resource
350 Main Street , Malden , MA 02148 , USA , and 108 Cowley Road , Oxford OX4 IJF , UK .
:
Blackwell Publishers, Inc.
Mathematical finance
13 (2003), S. 0
ISSN:
1467-9965
Source:
Blackwell Publishing Journal Backfiles 1879-2005
Topics:
Mathematics
,
Economics
Notes:
The aim of this paper is to compute the quadratic error of a discrete time-hedging strategy in a complete multidimensional model. This result extends that of Gobet and Temam (2001) and Zhang (1999). More precisely, our basic assumption is that the asset prices satisfy the d-dimensional stochastic differential equation dXit=Xit(bi(Xt)dt+σi,j(Xt)dWjt). We precisely describe the risk of this strategy with respect to n, the number of rebalancing times. The rates of convergence obtained are 〈inlineGraphic alt="inline image" href="urn:x-wiley:09601627:MAFI014:MAFI_014_mu1" location="equation/MAFI_014_mu1.gif"/〉 for any options with Lipschitz payoff and 1/n1/4 for options with irregular payoff.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1111/1467-9965.00014
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