Abstract
In this work, we consider the hedging error due to discrete trading in models with jumps. We propose a framework enabling to (asymptotically) optimize the discretization times. More precisely, a strategy is said to be optimal if for a given cost function, no strategy has (asymptotically) a lower mean square error for a smaller cost. We focus on strategies based on hitting times and give explicit expressions for the optimal strategies. This is joint work with Peter Tankov.
[PDF] Slides of the presentation.
In this work, we consider the hedging error due to discrete
trading in models with jumps. We propose a framework enabling to
(asymptotically) optimize the discretization times. More precisely, a
strategy is said to be optimal if for a given cost function, no strategy
has (asymptotically) a lower mean square error for a smaller cost. We
focus on strategies based on hitting times and give explicit expressions
for the optimal strategies. This is joint work with Peter Tankov
trading in models with jumps. We propose a framework enabling to
(asymptotically) optimize the discretization times. More precisely, a
strategy is said to be optimal if for a given cost function, no strategy
has (asymptotically) a lower mean square error for a smaller cost. We
focus on strategies based on hitting times and give explicit expressions
for the optimal strategies. This is joint work with Peter Tankov