Leland's Approach to Option Pricing: The Evolution of a Discontinuity

DOI10.1111/1467-9965.00119zbMath0996.91062OpenAlexW1974094160MaRDI QIDQ2757318

Werner Schachinger, Peter Grandits

Publication date: 26 November 2001

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://epub.wu.ac.at/1448/1/document.pdf

zbMATH Keywords

hedgingtransaction costs

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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