Add to ORKGThe limiting hedging error of Leland's strategy for the approximate pricing of a European call option is calculated in a market with transactions costs. It is not equal to zero when the level of transactions costs is a constant in a contradiction with the claim in [?]
The Leland strategy of approximate hedging of the call-option under proportional transaction costs p...
Conventional wisdom holds that since continuous-time, Black-Scholes hedging is infinitely expensive ...
One of the most successful approaches to option hedging with transaction costs is the utility-based ...
43This paper investigates the problem of hedging European call options using Leland's strategy in st...
43This paper investigates the problem of hedging European call options using Leland's strategy in st...
47This paper investigates the problem of hedging European call options using Leland's strategy in st...
47This paper investigates the problem of hedging European call options using Leland's strategy in st...
Nonzero transaction costs invalidate the Black-Scholes (1973) arbitrage argument based on continuous...
Nonzero transaction costs invalidate the Black-Scholes (1973) arbitrage argument based on continuous...
10.1016/j.jedc.2009.04.007Journal of Economic Dynamics and Control33121945-1961JEDC
International audienceThis paper studies the problem of option replication in general stochastic vol...
International audienceThis paper studies the problem of option replication in general stochastic vol...
In 1985 Leland suggested an approach to price contingent claims under proportional transaction costs...
This paper studies the problem of option replication in general stochastic volatility markets with t...
This paper studies the problem of option replication in general stochastic volatility markets with t...
The Leland strategy of approximate hedging of the call-option under proportional transaction costs p...
Conventional wisdom holds that since continuous-time, Black-Scholes hedging is infinitely expensive ...
One of the most successful approaches to option hedging with transaction costs is the utility-based ...
43This paper investigates the problem of hedging European call options using Leland's strategy in st...
43This paper investigates the problem of hedging European call options using Leland's strategy in st...
47This paper investigates the problem of hedging European call options using Leland's strategy in st...
47This paper investigates the problem of hedging European call options using Leland's strategy in st...
Nonzero transaction costs invalidate the Black-Scholes (1973) arbitrage argument based on continuous...
Nonzero transaction costs invalidate the Black-Scholes (1973) arbitrage argument based on continuous...
10.1016/j.jedc.2009.04.007Journal of Economic Dynamics and Control33121945-1961JEDC
International audienceThis paper studies the problem of option replication in general stochastic vol...
International audienceThis paper studies the problem of option replication in general stochastic vol...
In 1985 Leland suggested an approach to price contingent claims under proportional transaction costs...
This paper studies the problem of option replication in general stochastic volatility markets with t...
This paper studies the problem of option replication in general stochastic volatility markets with t...
The Leland strategy of approximate hedging of the call-option under proportional transaction costs p...
Conventional wisdom holds that since continuous-time, Black-Scholes hedging is infinitely expensive ...
One of the most successful approaches to option hedging with transaction costs is the utility-based ...