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)

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

Résumé

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.

langue originale	Anglais
Pages (de - à)	277-309
Nombre de pages	33
journal	Mathematical Finance
Volume	22
Numéro de publication	2
Les DOIs	https://doi.org/10.1111/j.1467-9965.2010.00466.x
état	Publié - 1 avr. 2012
Modification externe	Oui

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10.1111/j.1467-9965.2010.00466.x

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DO - 10.1111/j.1467-9965.2010.00466.x

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The tracking error rate of the delta-gamma hedging strategy

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