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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