Mean square error for the Leland–Lott hedging strategy: convex pay-offs
| Year of publication: |
2010
|
|---|---|
| Authors: | Denis, Emmanuel ; Kabanov, Yuri |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 14.2010, 4, p. 625-667
|
| Publisher: |
Springer |
| Subject: | Black–Scholes formula | European option | Transaction costs | Leland–Lott strategy | Approximate hedging | Martingale limit theorem | Diffusion approximation |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008775835