統計数学セミナー
Seminar on Probability and Statistics
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Seminar on Probability and Statistics
Thursday October 22 2009
Tokyo 122
4:30-5:40 pm


ASYMPTOTICALLY EFFICIENT DISCRETE HEDGING


深澤 正彰 / FUKASAWA, Masaaki
大阪大学 金融・保険教育研究センター / CSFI, Osaka Univ.

Abstract

The notion of asymptotic efficiency for discrete hedging is introduced and a discretizing strategy which is asymptotically efficient is given explicitly. A lower bound for asymptotic risk of discrete hedging is given, which is attained by a simple discretization scheme. Numerical results for delta hedging in the Black-Scholes model are also presented.




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Seminar on Probability and Statistics