%0 Journal Article
%T Discretization error of Stochastic Integrals
%A Masaaki Fukasawa
%J Quantitative Finance
%D 2010
%I arXiv
%X Asymptotic error distribution for approximation of a stochastic integral with respect to continuous semimartingale by Riemann sum with general stochastic partition is studied. Effective discretization schemes of which asymptotic conditional mean-squared error attains a lower bound are constructed. Two applications are given; efficient delta hedging strategies with transaction costs and effective discretization schemes for the Euler-Maruyama approximation are constructed.
%U http://arxiv.org/abs/1004.2107v1