Distribution of Discrete Time Delta-Hedging Error via a Recursive Relation
2016 ◽
Vol 6
(3)
◽
pp. 314-336
◽
Keyword(s):
AbstractWe introduce a new method to compute the approximate distribution of the Delta-hedging error for a path-dependent option, and calculate its value over various strike prices via a recursive relation and numerical integration. Including geometric Brownian motion and Merton's jump diffusion model, we obtain the approximate distribution of the Delta-hedging error by differentiating its price with respect to the strike price. The distribution from Monte Carlo simulation is compared with that obtained by our method.
2012 ◽
Vol 12
(7)
◽
pp. 1119-1141
◽
Keyword(s):
2017 ◽
Vol 5
(4)
◽
pp. 80
2007 ◽
Vol 31
(11)
◽
pp. 3478-3502
◽
2015 ◽
Vol 2015
◽
pp. 1-10
◽
Keyword(s):
Keyword(s):