BRODÉN, MATS; TANKOV, PETER - In: International Journal of Theoretical and Applied … 14 (2011) 06, pp. 803-837
We analyze the errors arising from discrete readjustment of the hedging portfolio when hedging options in exponential Lévy models, and establish the rate at which the expected squared error goes to zero when the readjustment frequency increases. We compare the quadratic hedging strategy with...