Approximate Hedging of Contingent Claims under Transaction Costs for General Pay-offs

DOI10.1080/13504861003590170zbMath1204.91125OpenAlexW2293990042MaRDI QIDQ3063878

Emmanuel Denis

Publication date: 15 December 2010

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504861003590170

zbMATH Keywords

transaction costsBlack-Scholes formulaapproximate hedgingLeland's strategy

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (6)

Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient ⋮ Approximate Hedging in a Local Volatility Model with Proportional Transaction Costs ⋮ Super-replication with fixed transaction costs ⋮ MODIFIED LELAND’S STRATEGY FOR A CONSTANT TRANSACTION COSTS RATE ⋮ How fast does it diverge? Discrete hedging error with transaction costs ⋮ A constructive method for convex solutions of a class of nonlinear Black-Scholes equations

Cites Work

• On Leland's strategy of option pricing with transactions costs
• Limit theorem for Leland's strategy
• Leland's Approach to Option Pricing: The Evolution of a Discontinuity
• MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES

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