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- W1539647040 abstract "We analyse the convergence rate of the quadratic tracking error, when a Delta-Gamma hedging strategy is used at N discrete times. The fractional regularity of the payoff function plays a crucial role in the choice of the trading dates, in order to achieve optimal rates of convergence." @default.
- W1539647040 created "2016-06-24" @default.
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- W1539647040 date "2009-01-01" @default.
- W1539647040 modified "2023-09-25" @default.
- W1539647040 title "The Tracking Error Rate of the Delta-Gamma Hedging Strategy" @default.
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- W1539647040 doi "https://doi.org/10.2139/ssrn.1492126" @default.
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