The tracking error rate of the delta-gamma hedging strategy

Emmanuel Gobet; Azmi Makhlouf

doi:10.1111/j.1467-9965.2010.00466.x

The tracking error rate of the delta-gamma hedging strategy

Emmanuel Gobet
, Azmi Makhlouf

LTHE (UMR 5564 CNRS/IRD/Université de Grenoble)

Research output: Contribution to journal › Article › peer-review

Abstract

We analyze the convergence rate of the quadratic tracking error, when a Delta-Gamma hedging strategy is used atNdiscrete times. The fractional regularity of the payoff function plays a crucial role in the choice of the trading dates, in order to achieve optimal rates of convergence.

Original language	English
Pages (from-to)	277-309
Number of pages	33
Journal	Mathematical Finance
Volume	22
Issue number	2
DOIs	https://doi.org/10.1111/j.1467-9965.2010.00466.x
Publication status	Published - 1 Apr 2012
Externally published	Yes

Keywords

Fractional regularity
Hedging strategies
L convergence

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KW - Hedging strategies

KW - L convergence

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The tracking error rate of the delta-gamma hedging strategy

Abstract

Keywords

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