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An Endogenous Volatility Approach to Pricing and Hedging Call Options with Transaction Costs

MacLean, Leonard - 2009

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/10013155931

Hedging errors with Leland's option model in the presence of transaction costs

Zhao, Yonggan; Ziemba, William T. - In: Finance research letters 4 (2007) 1, pp. 49-58

Persistent link: https://www.econbiz.de/10003442070

Optimal liquidation strategies and their implications

Ting, Christopher; Warachka, Mitch; Zhao, Yonggan - In: Journal of economic dynamics & control 31 (2007) 4, pp. 1431-1450

Persistent link: https://www.econbiz.de/10003443549

Comments on and corrigendum to "Hedging errors with Leland's option model in the presence of transaction costs"

Zhao, Yonggan; Ziemba, William T. - In: Finance research letters 4 (2007) 3, pp. 196-199

Persistent link: https://www.econbiz.de/10003702449

Comments on "Hedging errors with Leland's option model in the presence of transaction costs"

Leland, Hayne Ellis - In: Finance research letters 4 (2007) 3, pp. 200-202

Persistent link: https://www.econbiz.de/10003702460