| Title | On the Convergence of Higher Order Hedging Schemes: The Delta-Gamma Case |
| Authors | Magnus Wiktorsson, Mats Brodén |
| Alternative Location | http://dx.doi.org/10.1137/0..., Restricted Access |
| Publication | SIAM Journal on Financial Mathematics |
| Year | 2011 |
| Volume | 2 |
| Pages | 55 - 78 |
| Document type | Article |
| Status | Published |
| Quality controlled | Yes |
| Language | eng |
| Publisher | SIAM |
| Abstract English | Hedging errors induced by discrete rebalancing of the hedge portfolio of a delta-gamma hedging strategy are investigated. The rate of convergence of the expected squared hedging error as the number of adjustments of the hedge portfolio goes to infinity is analyzed. It is found that the delta-gamma strategy produces higher convergence rates than the usual delta strategy. |
| Keywords | rate of convergence, discrete time hedging, delta-gamma hedging, |
| ISBN/ISSN/Other | ISSN: 1945-497X (online) |
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