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• W2156170283 abstract "Sharp asymptotic lower bounds on the expected quadratic variation of the discretization error in stochastic integration are given when the integrator admits a predictable quadratic variation and the integrand is a continuous semimartingale with nondegenerate local martingale part. The theory relies on inequalities for the kurtosis and skewness of a general random variable which are themselves seemingly new. Asymptotically efficient schemes which attain the lower bounds are constructed explicitly. The result is directly applicable to a practical hedging problem in mathematical finance; for hedging a payoff which is replicated by a continuous-time trading strategy, it gives an asymptotically optimal way to choose discrete rebalancing dates and portfolios with respect to transaction costs. The asymptotically efficient strategies in fact reflect the structure of the transaction costs. In particular, a specific biased rebalancing scheme is shown to be superior to unbiased schemes if the transaction costs follow a convex model. The problem is discussed also in terms of exponential utility maximization." @default.
• W2156170283 created "2016-06-24" @default.
• W2156170283 creator A5006305714 @default.
• W2156170283 date "2013-10-04" @default.
• W2156170283 modified "2023-10-14" @default.
• W2156170283 title "Efficient discretization of stochastic integrals" @default.
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• W2156170283 doi "https://doi.org/10.1007/s00780-013-0215-6" @default.
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