A note on convergence of an approximate hedging portfolio with liquidity risk

DOI10.1080/17442500601075822zbMath1183.91170OpenAlexW2093936046MaRDI QIDQ5421590

Seongjoo Song, Kiseop Lee

Publication date: 24 October 2007

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500601075822

zbMATH Keywords

rate of convergenceEuropean call optionoption payofffinal value of hedging portfolio

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• On Leland's strategy of option pricing with transactions costs
• Option replication with transaction costs: general diffusion limits
• Perfect option hedging for a large trader
• Liquidity risk and arbitrage pricing theory
• Leland's Approach to Option Pricing: The Evolution of a Discontinuity
• EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader