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- W1618532946 abstract "We study the approximation of certain stochastic integrals with respect to a d-dimensional diffusion by corresponding stochastic integrals with piece-wise constant integrands. In finance this corresponds to replacing a continuously adjusted portfolio by discretely adjusted one. The approximation error is measured with respect to $L^2$ and it is shown that under certain assumptions the approximation rate is $n^{-1/2}$ when one optimizes over deterministic but not necessarily equidistant time-nets." @default.
- W1618532946 created "2016-06-24" @default.
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- W1618532946 date "2007-03-16" @default.
- W1618532946 modified "2023-09-27" @default.
- W1618532946 title "On discrete time hedging in d-dimensional option pricing models" @default.
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