Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient
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Publication:4561931
DOI10.1007/978-3-319-02069-3_8zbMath1418.91462OpenAlexW2109173787MaRDI QIDQ4561931
Sébastien Darses, Emmanuel Lépinette
Publication date: 13 December 2018
Published in: Inspired by Finance (Search for Journal in Brave)
Full work available at URL: https://basepub.dauphine.fr/handle/123456789/9308
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Cites Work
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- Approximate Hedging of Contingent Claims under Transaction Costs for General Pay-offs
- MODIFIED LELAND’S STRATEGY FOR A CONSTANT TRANSACTION COSTS RATE