How Fast Does It Diverge? Discrete Hedging Error with Transaction Costs
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics
Link
https://link.springer.com/content/pdf/10.1007/s10255-021-1017-9.pdf
Reference11 articles.
1. Bertsimas, D., Kogan, L., Lo, 0 W. When is Time Continuous? Journal of Financial Economics, 55: 173–204 (2000)
2. Denis, E. Approximate Hedging of Contingent Claims under Transaction Costs for a More General Pay-off. Applied Mathematical Finance, 17: 491–518 (2010)
3. Granditz, P., Schachinger, W. Leland’s approach to option pricing: the evolution of discontinuity. Mathematical Finance, 11(3): 347–355 (2010)
4. He, J.F., Wu, L. Convergence and optimality of BS-type discrete hedging strategy under stochastic interest rate. Science China Mathematics, 54: 1457–1478 (2011)
5. Kabanov, Yu.M., Safarian, M. On Leland’s strategy of option pricing with transaction costs. Finance Stoch., 1(3): 239–250 (1997)
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