Ku, Hyejin; Lee, Kiseop; Zhu, Huaiping - In: Finance Research Letters 9 (2012) 3, pp. 135-143
We study a discrete time hedging and pricing problem in a market with liquidity costs. Using Leland’s discrete time replication scheme [Leland, H.E., 1985. Journal of Finance, 1283–1301], we consider a discrete time version of the Black–Scholes model and a delta hedging strategy. We derive...
