THE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGY
Wed, 15 Feb 2012 10:02:21 GMT
We analyze 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.
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