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Leland's approach to option pricing : The evolution of a discontinuity
Schachinger, Werner
;
Grandits, Peter
-
1999
This paper proves that the limiting hedging error, considered as a function of ST, exhibits a removable discontinuity at the exercise price.
Persistent link: https://www.econbiz.de/10005841721
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Leland's approach to option pricing : the evolution of a discontinuity
Grandits, Peter
;
Schachinger, Werner
- In:
Mathematical finance : an international journal of …
11
(
2001
)
3
,
pp. 347-355
Persistent link: https://www.econbiz.de/10001651168
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