Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient (Q4561931): Difference between revisions
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Property / cites work: Approximate Hedging of Contingent Claims under Transaction Costs for General Pay-offs / rank | |||
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Property / cites work: Mean square error for the Leland-Lott hedging strategy: convex pay-offs / rank | |||
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Property / cites work: Q3656122 / rank | |||
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Property / cites work: Leland's Approach to Option Pricing: The Evolution of a Discontinuity / rank | |||
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Property / cites work: Q3911791 / rank | |||
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Property / cites work: On Leland's strategy of option pricing with transactions costs / rank | |||
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Property / cites work: MODIFIED LELAND’S STRATEGY FOR A CONSTANT TRANSACTION COSTS RATE / rank | |||
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Property / cites work: Limit theorem for Leland's strategy / rank | |||
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Latest revision as of 16:51, 17 July 2024
scientific article; zbMATH DE number 6993393
Language | Label | Description | Also known as |
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English | Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient |
scientific article; zbMATH DE number 6993393 |
Statements
Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient (English)
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13 December 2018
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option pricing
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transaction costs
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Leland strategy
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