How fast does it diverge? Discrete hedging error with transaction costs

DOI10.1007/s10255-021-1017-9zbMath1476.91193OpenAlexW3192868662MaRDI QIDQ2046239

Shuo Wu, Lan Wu

Publication date: 17 August 2021

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-021-1017-9

zbMATH Keywords

hedgingBlack-Scholes modeltransaction costshedging error

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Convergence and optimality of BS-type discrete hedging strategy under stochastic interest rate
• Markets with transaction costs. Mathematical theory.
• On Leland's strategy of option pricing with transactions costs
• Limit theorem for Leland's strategy
• Stochastic calculus for finance. II: Continuous-time models.
• Leland's Approach to Option Pricing: The Evolution of a Discontinuity
• Approximate Hedging of Contingent Claims under Transaction Costs for General Pay-offs
• MODIFIED LELAND’S STRATEGY FOR A CONSTANT TRANSACTION COSTS RATE

This page was built for publication: How fast does it diverge? Discrete hedging error with transaction costs