Limit theorem for Leland's strategy (Q1425487)
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scientific article; zbMATH DE number 2061211
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Limit theorem for Leland's strategy |
scientific article; zbMATH DE number 2061211 |
Statements
Limit theorem for Leland's strategy (English)
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21 March 2004
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transaction costs
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asymptotic hedging
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call option
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Black-Scholes formula
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Leland's strategy
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