Azmi Makhlouf

Laboratoire Jean Kuntzmann - Université de Grenoble and CNRS

LJK - IRMA

BP 53

Grenoble, 38041

France

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The Tracking Error Rate of the Delta-Gamma Hedging Strategy

Number of pages: 42 Posted: 31 Dec 2009

Emmanuel Gobet and Azmi Makhlouf

Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Laboratoire Jean Kuntzmann - Université de Grenoble and CNRS

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