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Quantitative Finance · Glossaire

Qu'est-ce que « Discrete hedging error » ?

Definition 4.7 Derivatives and Volatility · Chapitre 4 — Greeks and the Hedging P&L

The discrete hedging error is the difference between the terminal value of an option hedged at NN dates and that of the same option hedged continuously, when realised volatility equals the hedging volatility. Its mean is close to zero and its standard deviation falls like 1/N1/\sqrt N.

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