A correction note to "Discrete time hedging errors for options with irregular payoffs"

Emmanuel Gobet

doi:10.1007/s00780-014-0226-y

A correction note to "Discrete time hedging errors for options with irregular payoffs"

Emmanuel Gobet

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

Résumé

This short note corrects an error (a factor is missing) in two formulas related to L²-limits, established in "Discrete time hedging errors for options with irregular payoffs" by E. Gobet and E. Temam, Finance and Stochastics, 5, 357-367 (2001).

langue originale	Anglais
Pages (de - à)	483-485
Nombre de pages	3
journal	Finance and Stochastics
Volume	18
Numéro de publication	2
Les DOIs	https://doi.org/10.1007/s00780-014-0226-y
état	Publié - 1 avr. 2014

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10.1007/s00780-014-0226-y

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title = "A correction note to {"}Discrete time hedging errors for options with irregular payoffs{"}",

abstract = "This short note corrects an error (a factor is missing) in two formulas related to L2-limits, established in {"}Discrete time hedging errors for options with irregular payoffs{"} by E. Gobet and E. Temam, Finance and Stochastics, 5, 357-367 (2001).",

keywords = "Approximation of stochastic integral, Discrete time hedging, Rate of convergence",

author = "Emmanuel Gobet",

year = "2014",

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doi = "10.1007/s00780-014-0226-y",

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T1 - A correction note to "Discrete time hedging errors for options with irregular payoffs"

AU - Gobet, Emmanuel

PY - 2014/4/1

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N2 - This short note corrects an error (a factor is missing) in two formulas related to L2-limits, established in "Discrete time hedging errors for options with irregular payoffs" by E. Gobet and E. Temam, Finance and Stochastics, 5, 357-367 (2001).

AB - This short note corrects an error (a factor is missing) in two formulas related to L2-limits, established in "Discrete time hedging errors for options with irregular payoffs" by E. Gobet and E. Temam, Finance and Stochastics, 5, 357-367 (2001).

KW - Approximation of stochastic integral

KW - Discrete time hedging

KW - Rate of convergence

U2 - 10.1007/s00780-014-0226-y

DO - 10.1007/s00780-014-0226-y

M3 - Article

AN - SCOPUS:84901841475

SN - 0949-2984

VL - 18

SP - 483

EP - 485

JO - Finance and Stochastics

JF - Finance and Stochastics

IS - 2

ER -

A correction note to "Discrete time hedging errors for options with irregular payoffs"

Résumé

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