Fard, Farzad Alavi; Doko Tchatoka, Firmin; … - In: Journal of risk and financial management : JRFM 14 (2021) 3/97, pp. 1-19
In this paper we propose a maximum entropy estimator for the asymptotic distribution of the hedging error for options. Perfect replication of financial derivatives is not possible, due to market incompleteness and discrete-time hedging. We derive the asymptotic hedging error for options under a...
