Pages that link to "Item:Q1267818"
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The following pages link to On Leland's strategy of option pricing with transactions costs (Q1267818):
Displayed 39 items.
- Mean square error for the Leland-Lott hedging strategy: convex pay-offs (Q650775) (← links)
- Convergence and optimality of BS-type discrete hedging strategy under stochastic interest rate (Q763624) (← links)
- Optimal trading strategy for European options with transaction costs. (Q1399565) (← links)
- Limit theorem for Leland's strategy (Q1425487) (← links)
- Risk preference, option pricing and portfolio hedging with proportional transaction costs (Q1674295) (← links)
- Super-replication with fixed transaction costs (Q1737955) (← links)
- Static hedging of multivariate derivatives by simulation (Q1780760) (← links)
- How fast does it diverge? Discrete hedging error with transaction costs (Q2046239) (← links)
- Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis (Q2136947) (← links)
- Penalty and penalty-like methods for nonlinear HJB PDEs (Q2139765) (← links)
- Group classification for a class of non-linear models of the RAPM type (Q2211989) (← links)
- The optimal rehedging interval for the options portfolio within the RAPM, taking into account transaction costs and liquidity costs (Q2307920) (← links)
- European option pricing under stochastic volatility jump-diffusion models with transaction cost (Q2308485) (← links)
- A short memory version of the Vasicek model and evaluating European options on zero-coupon bonds (Q2309261) (← links)
- Quantile hedging on equity-linked life insurance contracts with transaction costs (Q2513623) (← links)
- Approximate hedging for nonlinear transaction costs on the volume of traded assets (Q2516769) (← links)
- A TRANSACTION COST CONVERGENCE RESULT FOR GENERAL HEDGING STRATEGIES (Q2746224) (← links)
- Approximate Hedging of Contingent Claims under Transaction Costs for General Pay-offs (Q3063878) (← links)
- Study of the risk-adjusted pricing methodology model with methods of geometrical analysis (Q3108366) (← links)
- EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH (Q3370590) (← links)
- European option under a skew version of the GBM model with transaction costs by an RBF method (Q3389651) (← links)
- Pricing a European Basket Option in the Presence of Proportional Transaction Costs (Q3424325) (← links)
- Dynamic hedging of basket options under proportional transaction costs using receding horizon control (Q3654580) (← links)
- Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient (Q4561931) (← links)
- Option Pricing with Transaction Costs and Stochastic Interest Rate (Q4586314) (← links)
- Numerical methods applied to option pricing models with transaction costs and stochastic volatility (Q4619506) (← links)
- THE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGY (Q4906531) (← links)
- MODIFIED LELAND’S STRATEGY FOR A CONSTANT TRANSACTION COSTS RATE (Q4919619) (← links)
- Valuation of European options with stochastic interest rates and transaction costs (Q5063448) (← links)
- A fractional version of the Cox–Ingersoll–Ross interest rate model and pricing double barrier option with Hurst index H∈(23,1) (Q5078109) (← links)
- Pricing American put option on zero-coupon bond under fractional CIR model with transaction cost (Q5084750) (← links)
- Von Neumann–Gale model, market frictions and capital growth (Q5086629) (← links)
- Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps (Q5120710) (← links)
- (Q5153837) (← links)
- IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING (Q5281718) (← links)
- APPROXIMATE HEDGING PROBLEM WITH TRANSACTION COSTS IN STOCHASTIC VOLATILITY MARKETS (Q5283405) (← links)
- An endogenous volatility approach to pricing and hedging call options with transaction costs (Q5397412) (← links)
- A note on convergence of an approximate hedging portfolio with liquidity risk (Q5421590) (← links)
- Exact Superreplication Strategies for a Class of Derivative Assets (Q5489327) (← links)