Discretization error of stochastic integrals
نویسندگان
چکیده
منابع مشابه
Discretization Error of Stochastic Integrals
Asymptotic error distribution for approximation of a stochastic integral with respect to continuous semimartingale by Riemann sum withgeneral stochasticpartition is studied. Effectivediscretization schemes of which asymptotic conditional mean-squared error attains a lower bound are constructed. Two applications are given; efficient delta hedging strategies with transaction costs and effective d...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2011
ISSN: 1050-5164
DOI: 10.1214/10-aap730