Publication:3656122
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zbMath1188.91217MaRDI QIDQ3656122
Publication date: 13 January 2010
transaction costs; Black-Scholes formula; European option; approximate hedging; Leland-Lott strategy
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Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient, MODIFIED LELAND’S STRATEGY FOR A CONSTANT TRANSACTION COSTS RATE, Mean square error for the Leland-Lott hedging strategy: convex pay-offs