THE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGY |
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| Authors: | Emmanuel Gobet Azmi Makhlouf |
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| Institution: | Université de Grenoble and CNRS |
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| Abstract: | We analyze the convergence rate of the quadratic tracking error, when a Delta‐Gamma hedging strategy is used at N discrete times. The fractional regularity of the payoff function plays a crucial role in the choice of the trading dates, in order to achieve optimal rates of convergence. |
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| Keywords: | hedging strategies fractional regularity
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2
convergence |
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