{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2014:N6CWE53KEZ3SP72OXERYXXT5OL","short_pith_number":"pith:N6CWE53K","schema_version":"1.0","canonical_sha256":"6f8562776a267727ff4eb9238bde7d72c20bc324abf1ed44f1d534e9c21dc755","source":{"kind":"arxiv","id":"1407.4570","version":1},"attestation_state":"computed","paper":{"title":"Optimal discretization of hedging strategies with directional views","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"math.PR","authors_text":"Jiatu Cai (LPMA), Masaaki Fukasawa, Mathieu Rosenbaum (LPMA), Peter Tankov (LPMA)","submitted_at":"2014-07-17T06:13:19Z","abstract_excerpt":"We consider the hedging error of a derivative due to discrete trading in the presence of a drift in the dynamics of the underlying asset. We suppose that the trader wishes to find rebalancing times for the hedging portfolio which enable him to keep the discretization error small while taking advantage of market trends. Assuming that the portfolio is readjusted at high frequency, we introduce an asymptotic framework in order to derive optimal discretization strategies. More precisely, we formulate the optimization problem in terms of an asymptotic expectation-error criterion. In this setting, t"},"verification_status":{"content_addressed":true,"pith_receipt":true,"author_attested":false,"weak_author_claims":0,"strong_author_claims":0,"externally_anchored":false,"storage_verified":false,"citation_signatures":0,"replication_records":0,"graph_snapshot":true,"references_resolved":false,"formal_links_present":false},"canonical_record":{"source":{"id":"1407.4570","kind":"arxiv","version":1},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"math.PR","submitted_at":"2014-07-17T06:13:19Z","cross_cats_sorted":[],"title_canon_sha256":"f91a0c915186454d172de23cd29864de67288323807aa5cfbd5302ae42e86ab5","abstract_canon_sha256":"c127bc4c32d2e6e81cf169ceb1bbf7c60abcfa3017eeed0710973fd2be20a492"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T02:47:23.717371Z","signature_b64":"c8OXK80TmfDehCQGxG+GqiF5sARcb4QT6x7C6jmfHaKD/e5UbapHAW6O8HFMD+cOOZA2nMEU5OAtLAOcbwweCQ==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"6f8562776a267727ff4eb9238bde7d72c20bc324abf1ed44f1d534e9c21dc755","last_reissued_at":"2026-05-18T02:47:23.716992Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T02:47:23.716992Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"Optimal discretization of hedging strategies with directional views","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"math.PR","authors_text":"Jiatu Cai (LPMA), Masaaki Fukasawa, Mathieu Rosenbaum (LPMA), Peter Tankov (LPMA)","submitted_at":"2014-07-17T06:13:19Z","abstract_excerpt":"We consider the hedging error of a derivative due to discrete trading in the presence of a drift in the dynamics of the underlying asset. We suppose that the trader wishes to find rebalancing times for the hedging portfolio which enable him to keep the discretization error small while taking advantage of market trends. Assuming that the portfolio is readjusted at high frequency, we introduce an asymptotic framework in order to derive optimal discretization strategies. More precisely, we formulate the optimization problem in terms of an asymptotic expectation-error criterion. In this setting, t"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1407.4570","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"},"aliases":[{"alias_kind":"arxiv","alias_value":"1407.4570","created_at":"2026-05-18T02:47:23.717057+00:00"},{"alias_kind":"arxiv_version","alias_value":"1407.4570v1","created_at":"2026-05-18T02:47:23.717057+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1407.4570","created_at":"2026-05-18T02:47:23.717057+00:00"},{"alias_kind":"pith_short_12","alias_value":"N6CWE53KEZ3S","created_at":"2026-05-18T12:28:41.024544+00:00"},{"alias_kind":"pith_short_16","alias_value":"N6CWE53KEZ3SP72O","created_at":"2026-05-18T12:28:41.024544+00:00"},{"alias_kind":"pith_short_8","alias_value":"N6CWE53K","created_at":"2026-05-18T12:28:41.024544+00:00"}],"events":[],"event_summary":{},"paper_claims":[],"inbound_citations":{"count":0,"internal_anchor_count":0,"sample":[]},"formal_canon":{"evidence_count":0,"sample":[],"anchors":[]},"links":{"html":"https://pith.science/pith/N6CWE53KEZ3SP72OXERYXXT5OL","json":"https://pith.science/pith/N6CWE53KEZ3SP72OXERYXXT5OL.json","graph_json":"https://pith.science/api/pith-number/N6CWE53KEZ3SP72OXERYXXT5OL/graph.json","events_json":"https://pith.science/api/pith-number/N6CWE53KEZ3SP72OXERYXXT5OL/events.json","paper":"https://pith.science/paper/N6CWE53K"},"agent_actions":{"view_html":"https://pith.science/pith/N6CWE53KEZ3SP72OXERYXXT5OL","download_json":"https://pith.science/pith/N6CWE53KEZ3SP72OXERYXXT5OL.json","view_paper":"https://pith.science/paper/N6CWE53K","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=1407.4570&json=true","fetch_graph":"https://pith.science/api/pith-number/N6CWE53KEZ3SP72OXERYXXT5OL/graph.json","fetch_events":"https://pith.science/api/pith-number/N6CWE53KEZ3SP72OXERYXXT5OL/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/N6CWE53KEZ3SP72OXERYXXT5OL/action/timestamp_anchor","attest_storage":"https://pith.science/pith/N6CWE53KEZ3SP72OXERYXXT5OL/action/storage_attestation","attest_author":"https://pith.science/pith/N6CWE53KEZ3SP72OXERYXXT5OL/action/author_attestation","sign_citation":"https://pith.science/pith/N6CWE53KEZ3SP72OXERYXXT5OL/action/citation_signature","submit_replication":"https://pith.science/pith/N6CWE53KEZ3SP72OXERYXXT5OL/action/replication_record"}},"created_at":"2026-05-18T02:47:23.717057+00:00","updated_at":"2026-05-18T02:47:23.717057+00:00"}