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2026-01-13 16:59 UTC · math.PR · math.PR

Gamma Hedging without Rough Paths

John Armstrong, Purba Das

We show how the robustness of gamma hedging can be understood without using rough-path theory. Instead, we use the concepts of $p^{th}$ variation along a partition sequence and Taylor's theorem directly, rather than defining an integral and proving a version of Itô's lemma. The same approach allows classical results on delta-hedging to be proved without defining an integral and without the need to define the concept of self-financing in continuous time. We show that the approach can also be applied to barrier options and Asian options
arXiv abstractPDF

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