How fast does it diverge? Discrete hedging error with transaction costs
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Publication:2046239
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Cites work
- Approximate hedging of contingent claims under transaction costs for general pay-offs
- Convergence and optimality of BS-type discrete hedging strategy under stochastic interest rate
- Leland's approach to option pricing: The evolution of a discontinuity
- Limit theorem for Leland's strategy
- Markets with transaction costs. Mathematical theory.
- Modified Leland's strategy for a constant transaction costs rate
- On Leland's strategy of option pricing with transactions costs
- Stochastic calculus for finance. II: Continuous-time models.
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