EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH

By Takaki Hayashi, Per Aslak Mykland. 2005

90 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/68b5379ffbc9647fcec555d6f59d840b4d54389c

Citations in the corpus

• Effectiveness of CPPI Strategies under Discrete-Time Trading (2009, unknown): “Discretely adjusted option hedges, first analyzed in Boyle and Emanuel (1980), are also treated in Russel and Schachter (1994), Bertsimas, Kogan, and Lo (1998) and more recently in Mahayni (2003), Talay and Zheng (2003) and Hayashi and Mykland (2005).”