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On Leland's Strategy of Option Pricing with Transaction Costs

Citations

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Cited by:

  1. C. Atkinson & C. A. Alexandropoulos, 2006. "Pricing a European Basket Option in the Presence of Proportional Transaction Costs," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(3), pages 191-214.
  2. repec:dau:papers:123456789/5374 is not listed on IDEAS
  3. Romuald Elie & Emmanuel Lépinette, 2015. "Approximate hedging for nonlinear transaction costs on the volume of traded assets," Finance and Stochastics, Springer, vol. 19(3), pages 541-581, July.
  4. Damien Lamberton & Huyên Pham & Martin Schweizer, 1998. "Local Risk-Minimization Under Transaction Costs," Mathematics of Operations Research, INFORMS, vol. 23(3), pages 585-612, August.
  5. Serguei Pergamenchtchikov & Alena Shishkova, 2020. "Hedging problems for Asian options with transactions costs," Papers 2001.01443, arXiv.org.
  6. Pellizzari, P., 2005. "Static hedging of multivariate derivatives by simulation," European Journal of Operational Research, Elsevier, vol. 166(2), pages 507-519, October.
  7. Joel Vanden, 2006. "Exact Superreplication Strategies for a Class of Derivative Assets," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(1), pages 61-87.
  8. Ehsan Azmoodeh, 2010. "On the fractional Black-Scholes market with transaction costs," Papers 1005.0211, arXiv.org.
  9. Fathi Abid & Wafa Abdelmalek & Sana Ben Hamida, 2020. "Dynamic Hedging using Generated Genetic Programming Implied Volatility Models," Papers 2006.16407, arXiv.org.
  10. Zhao, Yonggan & Ziemba, William T., 2007. "Hedging errors with Leland's option model in the presence of transaction costs," Finance Research Letters, Elsevier, vol. 4(1), pages 49-58, March.
  11. Elettra Agliardi & Rainer Andergassen, 2011. "(S,s)-adjustment Strategies and Hedging under Markovian Dynamics," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 36(2), pages 112-131, December.
  12. Huu Thai Nguyen & Serguei Pergamenchtchikov, 2014. "Approximate hedging with proportional transaction costs in stochastic volatility models with jumps," Working Papers hal-00979199, HAL.
  13. Wang, Xiao-Tian & Li, Zhe & Zhuang, Le, 2017. "Risk preference, option pricing and portfolio hedging with proportional transaction costs," Chaos, Solitons & Fractals, Elsevier, vol. 95(C), pages 111-130.
  14. Thai Huu Nguyen & Serguei Pergamenschchikov, 2015. "Approximate hedging with proportional transaction costs in stochastic volatility models with jumps," Papers 1505.02627, arXiv.org, revised Sep 2019.
  15. Erindi Allaj, 2013. "Implicit transaction costs and the fundamental theorems of asset pricing," Papers 1310.1882, arXiv.org, revised Jul 2017.
  16. Sebastien Darses & Emmanuel Denis, 2010. "Limit Theorem for a Modified Leland Hedging Strategy under Constant Transaction Costs rate," Working Papers hal-00467704, HAL.
  17. Erindi Allaj, 2017. "Implicit Transaction Costs And The Fundamental Theorems Of Asset Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(04), pages 1-39, June.
  18. Elettra Agliardi & Rainer Andergassen, 2007. "(S,S)-Adjustment Strategies And Dynamic Hedging," Working Paper series 09_07, Rimini Centre for Economic Analysis.
  19. Thai Huu Nguyen & Serguei Pergamenshchikov, 2015. "Approximate hedging problem with transaction costs in stochastic volatility markets," Papers 1505.02546, arXiv.org.
  20. Christara, Christina C. & Wu, Ruining, 2022. "Penalty and penalty-like methods for nonlinear HJB PDEs," Applied Mathematics and Computation, Elsevier, vol. 425(C).
  21. repec:dau:papers:123456789/4654 is not listed on IDEAS
  22. Farshid Mehrdoust & Ali Reza Najafi, 2018. "Pricing European Options under Fractional Black–Scholes Model with a Weak Payoff Function," Computational Economics, Springer;Society for Computational Economics, vol. 52(2), pages 685-706, August.
  23. Ostermark, Ralf, 1998. "Call option pricing and replication under economic friction," European Journal of Operational Research, Elsevier, vol. 108(1), pages 184-195, July.
  24. Melnikov, Alexander & Tong, Shuo, 2014. "Quantile hedging on equity-linked life insurance contracts with transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 77-88.
  25. Huu Thai Nguyen & Serguei Pergamenchtchikov, 2012. "Approximate hedging problem with transaction costs in stochastic volatility markets," Working Papers hal-00747689, HAL.
  26. J. S. Kennedy & P. A. Forsyth & K. R. Vetzal, 2009. "Dynamic Hedging Under Jump Diffusion with Transaction Costs," Operations Research, INFORMS, vol. 57(3), pages 541-559, June.
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