Limit theorem for Leland's strategy
type: Item
instance of: scholarly article
title: Limit theorem for Leland's strategy
zbMATH Open document ID: 1091.91039
published in: The Annals of Applied Probability
publication date: 2004-03-21T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60H05
zbMATH DE Number: 2061211
zbMATH Keywords: transaction costs
zbMATH Keywords: asymptotic hedging
zbMATH Keywords: call option
zbMATH Keywords: Black-Scholes formula
zbMATH Keywords: Leland's strategy
author: Serguei Pergamenchtchikov
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aoap/1060202836
OpenAlex ID: W2004164071
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DOI: 10.1214/AOAP/1060202836
description: scientific article; zbMATH DE number 2061211