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Limit theorem for Leland's strategy - MaRDI portal

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

    title
    Limit theorem for Leland's strategy (English)
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    publication date
    21 March 2004
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    zbMATH Keywords
    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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    Identifiers

    zbMATH DE Number
    2061211
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    OpenAlex ID
    W2004164071
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