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Weak Convergence of Hedging Strategies of Contingent Claims

Collection
  • Cahiers de recherche; 2002.02
Publication date2002
Abstract

This paper presents results on the convergence for hedging strategies in the setting of incomplete financial markets. We examine the convergence of the so-called locally risk-minimizing strategy. It is proved that such a choice for the trading strategy, when perfect hedging of contingent claims is infeasible, is robust under weak convergence. Several fundamental examples, such as trinomial trees and stochastic volatility models, extracted from the financial modeling literature illustrate this property for both deterministic and random time intervals shrinking to zero.

Citation (ISO format)
PRIGENT, Jean-Luc, SCAILLET, Olivier. Weak Convergence of Hedging Strategies of Contingent Claims. 2002
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  • PID : unige:5820
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Creation04/15/2010 12:20:26 PM
First validation04/15/2010 12:20:26 PM
Update time03/14/2023 3:26:43 PM
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