Hedge Error Analysis In Black Scholes Option Pricing Model: An Asymptotic Approach Towards Finite Difference

By Agni Rakshit, Gautam Bandyopadhyay, Tanujit Chakraborty

Published 2024-03-10

Everscope rating

1478.1

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Asymptotic analysis of finite difference methods. Problem types: Option Pricing, Risk Management, Hedging.

arXiv:2405.02919 · Paper rankings

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