Limit theorem for Leland's strategy
Pergamenshchikov, S.
Ann. Appl. Probab., Tome 13 (2003) no. 1, p. 1099-1118 / Harvested from Project Euclid
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The Leland strategy for an approximate hedging of the call option under transactions costs is studied. The rate of convergence in the Kabanov--Safarian theorem for the Leland strategy is found. The limit theorem for the hedging portfolio is proved.
Publié le : 2003-08-14
Classification:  Transaction costs,  asymptotic hedging,  call option,  Black-Scholes formula,  Leland's strategy,  90A09,  60H05 
@article{1060202836,
     author = {Pergamenshchikov, S.},
     title = {Limit theorem for Leland's strategy},
     journal = {Ann. Appl. Probab.},
     volume = {13},
     number = {1},
     year = {2003},
     pages = { 1099-1118},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1060202836}
}

Pergamenshchikov, S. Limit theorem for Leland's strategy. Ann. Appl. Probab., Tome 13 (2003) no. 1, pp.  1099-1118. http://gdmltest.u-ga.fr/item/1060202836/