Convergence rate for the hedging error of a path-dependent example

2016/03/15 by Gasbarra, Dario, Laitinen, Anni
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1603.04735

Abstract

We consider a Brownian functional F=g(∫₀^T η(s) dW_s) with g ∈ L₂(γ) and a singular deterministic η. We deduce the L₂-convergence rate for the approximation F⁽ⁿ⁾ = E F + ∫₀^T ϕ⁽ⁿ⁾(s) dW_s for a class of piecewise constant predictable integrands ϕ⁽ⁿ⁾ from the fractional smoothness of g quantified by Besov spaces and the rate of singularity of η.

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