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A correction note to “Discrete time hedging errors for options with irregular payoffs”

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  • Emmanuel Gobet

Abstract

This short note corrects an error (a factor is missing) in two formulas related to L 2 -limits, established in “Discrete time hedging errors for options with irregular payoffs” by E. Gobet and E. Temam, Finance and Stochastics, 5, 357–367 ( 2001 ). Copyright Springer-Verlag Berlin Heidelberg 2014

Suggested Citation

  • Emmanuel Gobet, 2014. "A correction note to “Discrete time hedging errors for options with irregular payoffs”," Finance and Stochastics, Springer, vol. 18(2), pages 483-485, April.
    • Handle: RePEc:spr:finsto:v:18:y:2014:i:2:p:483-485
    DOI: 10.1007/s00780-014-0226-y
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    References listed on IDEAS

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    1. Emmanuel Temam & Emmanuel Gobet, 2001. "Discrete time hedging errors for options with irregular payoffs," Finance and Stochastics, Springer, vol. 5(3), pages 357-367.
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    More about this item

    Keywords

    Discrete time hedging; Approximation of stochastic integral; Rate of convergence; 60H05; 41A25; G12; C63;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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