Gamma Hedging without Rough Paths
Fuente:
arXiv
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| Hauptverfasser: | , |
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| Format: | Preprint |
| Veröffentlicht: |
2026
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| _version_ | 1866914252019728384 |
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| author | Armstrong, John Das, Purba |
| author_facet | Armstrong, John Das, Purba |
| contents | 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 |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2601_08730 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Gamma Hedging without Rough Paths Armstrong, John Das, Purba Probability 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 |
| title | Gamma Hedging without Rough Paths |
| topic | Probability |
| url | https://arxiv.org/abs/2601.08730 |