{
  "annotation_id": "9c69802c-a930-4399-bd11-7820c6876140",
  "date_created": "2026-02-17T05:53:15.884000Z",
  "date_modified": "2026-02-17T05:53:15.884000Z",
  "file_hash": "a11b4bdff03e6815d4cfc83f1f39b30e0ab8a44356360a83ca6537618057e4a6",
  "private": false,
  "record": {
    "abstract": "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\u0027s theorem directly, rather than defining an integral and proving a version of It\\^o\u0027s 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",
    "arxiv_id": "2601.08730",
    "authors": [
      "John Armstrong",
      "Purba Das"
    ],
    "categories": [
      "math.PR"
    ],
    "license": "http://arxiv.org/licenses/nonexclusive-distrib/1.0/",
    "title": "Gamma Hedging without Rough Paths",
    "url": "https://arxiv.org/abs/2601.08730",
    "version": "v1"
  },
  "schema_id": "dorsal/arxiv",
  "source": {
    "execution_id": "95c31c7f-8e8a-4cc1-8e71-1b3dcde57ec3",
    "id": "arXiv Dataset",
    "type": "Model",
    "variant": "snapshot-2026-01-17",
    "version": "0.1.0"
  },
  "user_id": 1000002
}