Discrete time hedging in a complete diffusion market is considered. The hedge
portfolio is rebalanced when the absolute difference between delta of the hedge
portfolio and the derivative contract reaches a threshold level. The rate of
convergence of the expected squared hedging error as the threshold level
approaches zero is analyzed. The results hinge to a great extent on a theorem
stating that the difference between the hedge ratios normalized by the
threshold level tends to a triangular distribution as the threshold level tends
to zero.