MODIFIED LELAND’S STRATEGY FOR A CONSTANT TRANSACTION COSTS RATE-Reference-Cited by-同舟云学术

MODIFIED LELAND’S STRATEGY FOR A CONSTANT TRANSACTION COSTS RATE

Published:2012-02-03 Issue:4 Volume:22 Page:741-752
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:

Author:

Lepinette Emmanuel

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9965.2011.00498.x/fullpdf

Reference12 articles.

1. Denis , E. 2008 Marchés avec Coûts de Transactions: Approximation de Leland et Arbitrage Thesis https://sites.google.com/site/emmanueldenis6/introduction

2. Approximate Hedging of Contingent Claims under Transaction Costs for a More General Payoff;Denis;Appl. Math. Finance,2010

3. Mean Square Error for the Leland-Lott Hedging Strategy: Convex Payoffs;Denis;Finance Stochast.,2010

4. Gamys , M. Y. Kabanov 2009 Mean Square Error for the Leland-Lott Hedging Strategy Proceedings of the 2008 Daiwa International Workshop on Financial Engineering 1 25

5. Leland’s Approach to Option Pricing: The Evolution of Discontinuity;Granditz;Math. Finance,2001

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