@Article{EAJAM-6-314,
author = {Minseok Park, Kyungsub Lee and Geon Ho Choe},
title = {Distribution of Discrete Time Delta-Hedging Error via a Recursive Relation},
journal = {East Asian Journal on Applied Mathematics},
year = {2018},
volume = {6},
number = {3},
pages = {314--336},
abstract = {<p style="text-align: justify;">We introduce a new method to compute the approximate distribution of the
Delta-hedging error for a path-dependent option, and calculate its value over various
strike prices via a recursive relation and numerical integration. Including geometric
Brownian motion and Merton’s jump diffusion model, we obtain the approximate distribution of the Delta-hedging error by differentiating its price with respect to the strike
price. The distribution from Monte Carlo simulation is compared with that obtained by
our method.</p>},
issn = {2079-7370},
doi = {https://doi.org/10.4208/eajam.010116.220516a},
url = {http://global-sci.org/intro/article_detail/eajam/10801.html}
}