MODIFIED LELAND’S STRATEGY FOR A CONSTANT TRANSACTION COSTS RATE

DOI10.1111/j.1467-9965.2011.00498.xzbMath1272.91117OpenAlexW2117166983MaRDI QIDQ4919619

Emmanuel Lépinette

Publication date: 14 May 2013

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00498.x

zbMATH Keywords

transaction costsBlack-Scholes formulaapproximate hedgingLeland's strategy

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

Related Items (10)

APPROXIMATE HEDGING PROBLEM WITH TRANSACTION COSTS IN STOCHASTIC VOLATILITY MARKETS ⋮ Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient ⋮ Von Neumann–Gale model, market frictions and capital growth ⋮ 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 ⋮ Optimal investment and consumption for financial markets with jumps under transaction costs ⋮ Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps ⋮ 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

• Mean square error for the Leland-Lott hedging strategy: convex pay-offs
• On Leland's strategy of option pricing with transactions costs
• Limit theorem for Leland's strategy
• Leland's Approach to Option Pricing: The Evolution of a Discontinuity
• Approximate Hedging of Contingent Claims under Transaction Costs for General Pay-offs
• Unnamed Item

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