摘要翻译：
在指数Levy模型中，分析了套期保值投资组合在套期保值期权时的离散重新调整所产生的误差，并建立了当重新调整频率增加时期望平方误差为零的速率。我们将二次型套期保值策略与一般市场实践的delta套期保值进行了比较，结果表明，对于不连续的期权收益，后者可能存在很大的离散化误差。对于不连续支付的期权，收敛速度依赖于Levy过程，并给出了收敛速度与Levy过程的Blumenthal-Getoor指数之间的显式关系。
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英文标题：
《Tracking errors from discrete hedging in exponential L\'evy models》
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作者：
Mats Brod\'en, Peter Tankov
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
  We analyze the errors arising from discrete readjustment of the hedging portfolio when hedging options in exponential Levy models, and establish the rate at which the expected squared error goes to zero when the readjustment frequency increases. We compare the quadratic hedging strategy with the common market practice of delta hedging, and show that for discontinuous option pay-offs the latter strategy may suffer from very large discretization errors. For options with discontinuous pay-offs, the convergence rate depends on the underlying Levy process, and we give an explicit relation between the rate and the Blumenthal-Getoor index of the process.
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PDF链接：
https://arxiv.org/pdf/1003.0709