 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.
Authors:
Jean-Luc PRIGENT
& Olivier SCAILLET
(2002)
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Weak Convergence of Hedging Strategies of Contingent Claims
http://ideas.repec.org/p/fam/rpseri/rp39.html
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