Modified Leland's strategy for a constant transaction costs rate (Q4919619)
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scientific article; zbMATH DE number 6163075
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| English | Modified Leland's strategy for a constant transaction costs rate |
scientific article; zbMATH DE number 6163075 |
Statements
MODIFIED LELAND’S STRATEGY FOR A CONSTANT TRANSACTION COSTS RATE (English)
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14 May 2013
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Black-Scholes formula
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transaction costs
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Leland's strategy
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approximate hedging
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0.8941814303398132
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0.8935494422912598
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0.8865976929664612
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0.8627524971961975
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