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Hedging Error and Discretising Continuous Time Models
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sirinath  
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  More options May 13, 11:57 am
Newsgroups: alt.invest, misc.invest.misc
From: sirinath <sirinath19...@gmail.com>
Date: Tue, 13 May 2008 08:57:33 -0700 (PDT)
Local: Tues, May 13 2008 11:57 am
Subject: Hedging Error and Discretising Continuous Time Models
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Hi,

Hedging error need not always need to be minimized. If it is
favorable, it is advantages to let it be large as possible. The
discretising of a continuous time model should be done so that the
hedging error would be most favorable subjected to trading costs and
other considerations. This would be a additional source of returns
beyond what the model specifies.

Suminda Sirinath Salpitikorala Dharmasena


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