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An endogenous volatility approach to pricing and hedging call options with transaction costs

MacLean, Leonard C.; Zhao, Yonggan; Ziemba, William T. - In: Quantitative Finance 13 (2011) 5, pp. 699-712

Standard delta hedging fails to exactly replicate a European call option in the presence of transaction costs. We study a pricing and hedging model similar to the delta hedging strategy with an endogenous volatility parameter for the calculation of delta over time. The endogenous volatility...

Persistent link: https://www.econbiz.de/10010976178

Capital growth with security

MacLean, Leonard C.; Sanegre, Rafael; Zhao, Yonggan; … - In: Journal of Economic Dynamics and Control 28 (2004) 5, pp. 937-954

Persistent link: https://www.econbiz.de/10005229236

Regime dependent sensitivity of country exchange traded funds to common risk factors

Yuan, Jun; MacLean, Leonard C.; Xu, Kuan; Zhao, Yonggan - In: Frontiers of business research in China : selected … 10 (2016) 3, pp. 385-431

Persistent link: https://www.econbiz.de/10011848528

Asset price dynamics : shocks and regimes

MacLean, Leonard C.; Zhao, Yonggan - In: Optimal financial decision making under uncertainty, (pp. 35-53). 2017

Persistent link: https://www.econbiz.de/10011558441

Kelly investing with downside risk control in a regime-switching market

MacLean, Leonard C.; Zhao, Yonggan - In: Quantitative finance 22 (2022) 1, pp. 75-94

Persistent link: https://www.econbiz.de/10012872522

Covariance complexity and rates of return on assets

MacLean, Leonard C.; Foster, Michael E.; Ziemba, William T. - In: Journal of Banking & Finance 31 (2007) 11, pp. 3503-3523

Persistent link: https://www.econbiz.de/10005213070

Physician practice style variations

Maclean, Leonard C.; Richman, Alex - In: Socio-Economic Planning Sciences 23 (1989) 6, pp. 361-371

Persistent link: https://www.econbiz.de/10005367495

The Kelly Criterion with Games of Chance

MacLean, Leonard C.; Ziemba, William T. - In: The Oxford handbook of the economics of gambling. 2013

Persistent link: https://www.econbiz.de/10012881511

Who are the most important players in team sports

Ziemba, William T.; MacLean, Leonard C. - In: The journal of prediction markets 15 (2021) 3, pp. 33-83

Persistent link: https://www.econbiz.de/10013162237

Market regimes, sectorial investments, and time‐varying risk premiums

Liu, Peixin (Payton); Xu, Kuan; Zhao, Yonggan - In: International Journal of Managerial Finance 7 (2011) 2, pp. 107-133

Purpose – This paper aims to extend the Fama and French (FF) three‐factor model in studying time‐varying risk premiums of Sector Select Exchange Traded Funds (ETFs) under a Markov regime‐switching framework. Design/methodology/approach – First, the original FF model is augmented to...

Persistent link: https://www.econbiz.de/10014785328