Robustness of delta hedging for path-dependent options in local volatility models

A. Schied, M.A. Stadje

Research output: Contribution to journal › Article › Professional

Original language	English
Pages (from-to)	865-879
Journal	Journal of Applied Probability
Volume	44
Issue number	4
Publication status	Published - 2008
Externally published	Yes

Cite this

@article{08c2547c0f884d6cb3beec43ca160183,

title = "Robustness of delta hedging for path-dependent options in local volatility models",

author = "A. Schied and M.A. Stadje",

year = "2008",

language = "English",

volume = "44",

pages = "865--879",

journal = "Journal of Applied Probability",

issn = "0021-9002",

publisher = "Cambridge University Press",

number = "4",

}