Stability and asymptotic analysis of the Föllmer–Schweizer decomposition on a finite probability space

  title={Stability and asymptotic analysis of the
F{\"o}llmer–Schweizer decomposition on a finite probability space},
  author={Sarah Boese and Tracy Cui and S. Johnston and G. Molino and Oleksii Mostovyi},
  journal={arXiv: Mathematical Finance},
First, we consider the problem of hedging in complete binomial models. Using the discrete-time F\"ollmer-Schweizer decomposition, we demonstrate the equivalence of the backward induction and sequential regression approaches. Second, in incomplete trinomial models, we examine the extension of the sequential regression approach for approximation of contingent claims. Then, on a finite probability space, we investigate stability of the discrete-time F\"ollmer-Schweizer decomposition with respect… Expand
1 Citations
On a finite probability space, we consider a problem of fair pricing of contingent claims in the sense of [FS89], and its sensitivity to a distortion of information, where we follow the weakExpand


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