On Leland's strategy of option pricing with transactions costs

DOI10.1007/s007800050023zbMath0911.90027MaRDI QIDQ1267818

Mher M. Safarian, Youri M.Kabanov

Publication date: 5 May 1999

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050023

zbMATH Keywords

European call option; approximate pricing; Leland strategy; limiting heding error

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

60H05: Stochastic integrals

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