Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient-Reference-Cited by-同舟云学术

Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient

Published:2014 Issue: Volume: Page:159-199
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Container-title:Inspired by Finance
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Author:

Darses Sébastien,Lépinette Emmanuel

Publisher

Springer International Publishing

Link

http://link.springer.com/content/pdf/10.1007/978-3-319-02069-3_8

Reference13 articles.

1. Denis, E.: Marchés avec coûts de transaction: approximation de Leland et arbitrage. Thèse, Université de Franche-Comté (2008)

2. Denis, E.: Approximate hedging of contingent claims under transaction costs. Appl. Math. Finance 17, 491–518 (2010)

3. Denis, E., Kabanov, Y.: Mean square error for the Leland-Lott hedging strategy: convex payoffs. Finance Stoch. (2009)

4. Gamys, M., Kabanov, Y.: Mean square error for the Leland–Lott hedging strategy. In: Recent Advances in Financial Engineering: Proceedings of the 2008 Daiwa International Workshop on Financial Engineering. World Scientific, Singapore (2009)

5. Granditz, P., Schachinger, W.: Leland’s approach to option pricing: the evolution of discontinuity. Math. Finance 11, 347–355 (2001)

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