Mean square error for the Leland-Lott hedging strategy: convex pay-offs
Year of publication: |
2010
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Authors: | Lépinette-Denis, Emmanuel ; Kabanov, Yuri |
Institutions: | Université Paris-Dauphine (Paris IX) |
Subject: | Diffusion approximation | Martingale limit theorem | European option | approximate hedging | transaction costs | Leland-Lott strategy | Black-Scholes formula |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Published in Finance and Stochastics, 2010, Vol. 14, no. 4. pp. 625-667.Length: 42 pages |
Classification: | G13 - Contingent Pricing; Futures Pricing ; G11 - Portfolio Choice |
Source: |
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Mean square error for the Leland-Lott hedging strategy: convex pay-offs.
Lépinette-Denis, Emmanuel, (2010)
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Mean square error for the Leland–Lott hedging strategy: convex pay-offs
Denis, Emmanuel, (2010)
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Limit Theorem for a Modified Leland Hedging Strategy under Constant Transaction Costs rate
Lépinette-Denis, Emmanuel, (2011)
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