scientific article

From MaRDI portal

Publication:3656122

Jump to:navigation, search

zbMath1188.91217MaRDI QIDQ3656122

Moussa Gamys, Youri M.Kabanov

Publication date: 13 January 2010

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

transaction costs Black-Scholes formula European option approximate hedging Leland-Lott strategy

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (3)

Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient ⋮ Mean square error for the Leland-Lott hedging strategy: convex pay-offs ⋮ MODIFIED LELAND’S STRATEGY FOR A CONSTANT TRANSACTION COSTS RATE

This page was built for publication:

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Publication:3656122&oldid=17115807"