APPROXIMATE HEDGING PROBLEM WITH TRANSACTION COSTS IN STOCHASTIC VOLATILITY MARKETS (Q5283405): Difference between revisions

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+Option replication with transaction costs: general diffusion limits
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+Moment explosions in stochastic volatility models
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+Quantile hedging on markets with proportional transaction costs
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+The Pricing of Options and Corporate Liabilities
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+Q3077823
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+HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup>
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+Quantile hedging
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+Leland's Approach to Option Pricing: The Evolution of a Discontinuity
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+Q3911791
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+On Leland's strategy of option pricing with transactions costs
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+THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS
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+MODIFIED LELAND’S STRATEGY FOR A CONSTANT TRANSACTION COSTS RATE
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+Mean square error for the Leland-Lott hedging strategy: convex pay-offs
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+Correlations and bounds for stochastic volatility models
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+Hedging of Options with a Given Probability
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+Limit theorem for Leland's strategy
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+Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints
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+EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL<sup>1</sup>
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+OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
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