Pages that link to "Item:Q650775"
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The following pages link to Mean square error for the Leland-Lott hedging strategy: convex pay-offs (Q650775):
Displayed 15 items.
- Asymptotic replication with modified volatility under small transaction costs (Q287666) (← links)
- Efficient discretization of stochastic integrals (Q471177) (← links)
- Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces (Q605878) (← links)
- Discretization error of stochastic integrals (Q640062) (← links)
- Risk preference, option pricing and portfolio hedging with proportional transaction costs (Q1674295) (← links)
- Asymptotic arbitrage in large financial markets with friction (Q1938994) (← links)
- Hedging in fractional Black-Scholes model with transaction costs (Q2407526) (← links)
- Approximate hedging for nonlinear transaction costs on the volume of traded assets (Q2516769) (← links)
- Dynamic programming principle and computable prices in financial market models with transaction costs (Q2698051) (← links)
- Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient (Q4561931) (← links)
- CONDITIONAL-MEAN HEDGING UNDER TRANSACTION COSTS IN GAUSSIAN MODELS (Q4634641) (← links)
- MODIFIED LELAND’S STRATEGY FOR A CONSTANT TRANSACTION COSTS RATE (Q4919619) (← links)
- Von Neumann–Gale model, market frictions and capital growth (Q5086629) (← links)
- APPROXIMATE HEDGING PROBLEM WITH TRANSACTION COSTS IN STOCHASTIC VOLATILITY MARKETS (Q5283405) (← links)
- Diffusion Equations: Convergence of the Functional Scheme Derived from the Binomial Tree with Local Volatility for Non Smooth Payoff Functions (Q5742507) (← links)
