A Note on 'Discrete Time Hedging Errors for Options with Irregular Payoffs'

2 Pages Posted: 19 Apr 2012 Last revised: 26 Apr 2012

See all articles by Aleš Černý

Aleš Černý

Bayes Business School (formerly Cass), City, University of London

Juraj Spilda

City University London - Sir John Cass Business School

Date Written: April 7, 2012

Abstract

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

Černý, Aleš and Spilda, Juraj, A Note on 'Discrete Time Hedging Errors for Options with Irregular Payoffs' (April 7, 2012). Available at SSRN: https://ssrn.com/abstract=2042519 or http://dx.doi.org/10.2139/ssrn.2042519

Aleš Černý (Contact Author)

Bayes Business School (formerly Cass), City, University of London

Northampton Square
London, EC1V 0HB
United Kingdom

Juraj Spilda

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

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