Almost sure optimal hedging strategy

Emmanuel Gobet (1) , Nicolas Landon (1, 2)

1 CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique
2 GDF SUEZ - Direction de la Stratégie et du Développement Durable

In this work, we study the optimal discretization error of stochastic integrals, in the context of the hedging error.

Domaines: Probabilités [math.PR]

Emmanuel Gobet, Nicolas Landon. Almost sure optimal hedging strategy. The Annals of Applied Probability, 2014, 24 (4), pp.1652--1690. ⟨hal-00657153v2⟩