Limit theorem for Leland's strategy
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Publication:1425487
DOI10.1214/aoap/1060202836zbMath1091.91039OpenAlexW2004164071MaRDI QIDQ1425487
Publication date: 21 March 2004
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1060202836
Related Items (16)
APPROXIMATE HEDGING PROBLEM WITH TRANSACTION COSTS IN STOCHASTIC VOLATILITY MARKETS ⋮ CALCULATION OF ASIAN OPTIONS FOR THE BLACK–SCHOLES MODEL ⋮ COHERENT RISK MEASURE ON L0: NA CONDITION, PRICING AND DUAL REPRESENTATION ⋮ Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient ⋮ Risk preference, option pricing and portfolio hedging with proportional transaction costs ⋮ Approximate Hedging in a Local Volatility Model with Proportional Transaction Costs ⋮ Hedging Problem for Asian Call Options with Transaction Costs ⋮ Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps ⋮ Mean square error for the Leland-Lott hedging strategy: convex pay-offs ⋮ Super-replication with fixed transaction costs ⋮ THE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGY ⋮ MODIFIED LELAND’S STRATEGY FOR A CONSTANT TRANSACTION COSTS RATE ⋮ Approximate Hedging of Contingent Claims under Transaction Costs for General Pay-offs ⋮ EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH ⋮ Approximate hedging for nonlinear transaction costs on the volume of traded assets ⋮ How fast does it diverge? Discrete hedging error with transaction costs
Cites Work
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- The Pricing of Options and Corporate Liabilities
- On Leland's strategy of option pricing with transactions costs
- Option replication with transaction costs: general diffusion limits
- Limit theorem on option replication cost with transaction costs
- Quantile hedging
- Leland's Approach to Option Pricing: The Evolution of a Discontinuity
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