Analysis of Error with Malliavin Calculus: Application to Hedging
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 di...
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| Autor*in: |
Temam, E. [verfasserIn] |
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| Format: |
E-Artikel |
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| Erschienen: |
350 Main Street , Malden , MA 02148 , USA , and 108 Cowley Road , Oxford OX4 IJF , UK .: Blackwell Publishers, Inc. ; 2003 |
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| Umfang: |
Online-Ressource |
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| Reproduktion: |
2003 ; Blackwell Publishing Journal Backfiles 1879-2005 |
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| Übergeordnetes Werk: |
In: Mathematical finance - Oxford [u.a.] : Wiley-Blackwell, 1991, 13(2003), 1, Seite 0 |
| Übergeordnetes Werk: |
volume:13 ; year:2003 ; number:1 ; pages:0 |
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| DOI / URN: |
10.1111/1467-9965.00014 |
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NLEJ243593058 |
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| 520 | |a 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. | ||
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10.1111/1467-9965.00014 doi (DE-627)NLEJ243593058 DE-627 ger DE-627 rakwb Temam, E. verfasserin aut Analysis of Error with Malliavin Calculus: Application to Hedging 350 Main Street , Malden , MA 02148 , USA , and 108 Cowley Road , Oxford OX4 IJF , UK . Blackwell Publishers, Inc. 2003 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier 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. 2003 Blackwell Publishing Journal Backfiles 1879-2005 |2003|||||||||| discrete time hedging In Mathematical finance Oxford [u.a.] : Wiley-Blackwell, 1991 13(2003), 1, Seite 0 Online-Ressource (DE-627)NLEJ243926227 (DE-600)1481288-5 1467-9965 nnns volume:13 year:2003 number:1 pages:0 http://dx.doi.org/10.1111/1467-9965.00014 text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 13 2003 1 0 |
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10.1111/1467-9965.00014 doi (DE-627)NLEJ243593058 DE-627 ger DE-627 rakwb Temam, E. verfasserin aut Analysis of Error with Malliavin Calculus: Application to Hedging 350 Main Street , Malden , MA 02148 , USA , and 108 Cowley Road , Oxford OX4 IJF , UK . Blackwell Publishers, Inc. 2003 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier 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. 2003 Blackwell Publishing Journal Backfiles 1879-2005 |2003|||||||||| discrete time hedging In Mathematical finance Oxford [u.a.] : Wiley-Blackwell, 1991 13(2003), 1, Seite 0 Online-Ressource (DE-627)NLEJ243926227 (DE-600)1481288-5 1467-9965 nnns volume:13 year:2003 number:1 pages:0 http://dx.doi.org/10.1111/1467-9965.00014 text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 13 2003 1 0 |
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10.1111/1467-9965.00014 doi (DE-627)NLEJ243593058 DE-627 ger DE-627 rakwb Temam, E. verfasserin aut Analysis of Error with Malliavin Calculus: Application to Hedging 350 Main Street , Malden , MA 02148 , USA , and 108 Cowley Road , Oxford OX4 IJF , UK . Blackwell Publishers, Inc. 2003 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier 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. 2003 Blackwell Publishing Journal Backfiles 1879-2005 |2003|||||||||| discrete time hedging In Mathematical finance Oxford [u.a.] : Wiley-Blackwell, 1991 13(2003), 1, Seite 0 Online-Ressource (DE-627)NLEJ243926227 (DE-600)1481288-5 1467-9965 nnns volume:13 year:2003 number:1 pages:0 http://dx.doi.org/10.1111/1467-9965.00014 text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 13 2003 1 0 |
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10.1111/1467-9965.00014 doi (DE-627)NLEJ243593058 DE-627 ger DE-627 rakwb Temam, E. verfasserin aut Analysis of Error with Malliavin Calculus: Application to Hedging 350 Main Street , Malden , MA 02148 , USA , and 108 Cowley Road , Oxford OX4 IJF , UK . Blackwell Publishers, Inc. 2003 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier 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. 2003 Blackwell Publishing Journal Backfiles 1879-2005 |2003|||||||||| discrete time hedging In Mathematical finance Oxford [u.a.] : Wiley-Blackwell, 1991 13(2003), 1, Seite 0 Online-Ressource (DE-627)NLEJ243926227 (DE-600)1481288-5 1467-9965 nnns volume:13 year:2003 number:1 pages:0 http://dx.doi.org/10.1111/1467-9965.00014 text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 13 2003 1 0 |
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10.1111/1467-9965.00014 doi (DE-627)NLEJ243593058 DE-627 ger DE-627 rakwb Temam, E. verfasserin aut Analysis of Error with Malliavin Calculus: Application to Hedging 350 Main Street , Malden , MA 02148 , USA , and 108 Cowley Road , Oxford OX4 IJF , UK . Blackwell Publishers, Inc. 2003 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier 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. 2003 Blackwell Publishing Journal Backfiles 1879-2005 |2003|||||||||| discrete time hedging In Mathematical finance Oxford [u.a.] : Wiley-Blackwell, 1991 13(2003), 1, Seite 0 Online-Ressource (DE-627)NLEJ243926227 (DE-600)1481288-5 1467-9965 nnns volume:13 year:2003 number:1 pages:0 http://dx.doi.org/10.1111/1467-9965.00014 text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 13 2003 1 0 |
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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. |
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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. |
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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. |
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<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01000caa a22002652 4500</leader><controlfield tag="001">NLEJ243593058</controlfield><controlfield tag="003">DE-627</controlfield><controlfield tag="005">20210707183156.0</controlfield><controlfield tag="007">cr uuu---uuuuu</controlfield><controlfield tag="008">120427s2003 xx |||||o 00| ||und c</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1111/1467-9965.00014</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627)NLEJ243593058</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Temam, E.</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Analysis of Error with Malliavin Calculus: Application to Hedging</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">350 Main Street , Malden , MA 02148 , USA , and 108 Cowley Road , Oxford OX4 IJF , UK .</subfield><subfield code="b">Blackwell Publishers, Inc.</subfield><subfield code="c">2003</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">Online-Ressource</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">nicht spezifiziert</subfield><subfield code="b">zzz</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">nicht spezifiziert</subfield><subfield code="b">z</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">nicht spezifiziert</subfield><subfield code="b">zu</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">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.</subfield></datafield><datafield tag="533" ind1=" " ind2=" "><subfield code="d">2003</subfield><subfield code="f">Blackwell Publishing Journal Backfiles 1879-2005</subfield><subfield code="7">|2003||||||||||</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">discrete time hedging</subfield></datafield><datafield tag="773" ind1="0" ind2="8"><subfield code="i">In</subfield><subfield code="t">Mathematical finance</subfield><subfield code="d">Oxford [u.a.] : Wiley-Blackwell, 1991</subfield><subfield code="g">13(2003), 1, Seite 0</subfield><subfield code="h">Online-Ressource</subfield><subfield code="w">(DE-627)NLEJ243926227</subfield><subfield code="w">(DE-600)1481288-5</subfield><subfield code="x">1467-9965</subfield><subfield code="7">nnns</subfield></datafield><datafield tag="773" ind1="1" ind2="8"><subfield code="g">volume:13</subfield><subfield code="g">year:2003</subfield><subfield code="g">number:1</subfield><subfield code="g">pages:0</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">http://dx.doi.org/10.1111/1467-9965.00014</subfield><subfield code="q">text/html</subfield><subfield code="x">Verlag</subfield><subfield code="z">Deutschlandweit zugänglich</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_USEFLAG_U</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-1-DJB</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_NL_ARTICLE</subfield></datafield><datafield tag="951" ind1=" " ind2=" "><subfield code="a">AR</subfield></datafield><datafield tag="952" ind1=" " ind2=" "><subfield code="d">13</subfield><subfield code="j">2003</subfield><subfield code="e">1</subfield><subfield code="h">0</subfield></datafield></record></collection>
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