Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient

DOI10.1007/978-3-319-02069-3_8zbMath1418.91462MaRDI QIDQ4561931

Emmanuel Lépinette, Sébastien Darses

Publication date: 13 December 2018

Published in: Inspired by Finance (Search for Journal in Brave)

Full work available at URL: https://basepub.dauphine.fr/handle/123456789/9308

zbMATH Keywords

option pricing; transaction costs; Leland strategy

Mathematics Subject Classification ID

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

91G10: Portfolio theory