A Note on 'Discrete Time Hedging Errors for Options with Irregular Payoffs'
2 Pages Posted: 19 Apr 2012 Last revised: 26 Apr 2012
Date Written: April 7, 2012
This note provides correction to the main results in the article "Discrete time hedging errors for options with irregular payoffs" (Finance and Stochastics, 5, 357-367, 2001).
Keywords: Discrete time hedging, rate of convergence, tracking error
JEL Classification: G11, G12, D4, C0
Suggested Citation: Suggested Citation