Angelini, Flavio; Nicolosi, Marco - Dipartimento di Economia, Università degli Studi di Perugia - 2008
We measure, in terms of expectation and variance, the cost of hedging a contingent claim when the hedging portfolio is re-balanced at a discrete set of dates. The basic point of the methodology is to have an integral representation of the payoff of the claim, in other words to be able to write...