Download This PaperA 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
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: 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
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