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My bibliography Save this articleLeland's Approach to Option Pricing: The Evolution of a Discontinuity
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DOI: 10.1111/1467-9965.00119
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Cited by:
- Thai Huu Nguyen & Serguei Pergamenshchikov, 2015. "Approximate hedging problem with transaction costs in stochastic volatility markets," Papers 1505.02546, arXiv.org.
- 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.
- Fathi Abid & Wafa Abdelmalek & Sana Ben Hamida, 2020. "Dynamic Hedging using Generated Genetic Programming Implied Volatility Models," Papers 2006.16407, arXiv.org.
- Huu Thai Nguyen & Serguei Pergamenchtchikov, 2012.
"Approximate hedging problem with transaction costs in stochastic volatility markets,"
Working Papers
hal-00747689, HAL.
- Huu Thai Nguyen & Serguei Pergamenchtchikov, 2012. "Approximate hedging problem with transaction costs in stochastic volatility markets," Working Papers hal-00808608, HAL.
- 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.
- Daniel Sevcovic & Magdalena Zitnanska, 2016. "Analysis of the nonlinear option pricing model under variable transaction costs," Papers 1603.03874, arXiv.org.
- Huu Thai Nguyen & Serguei Pergamenchtchikov, 2014. "Approximate hedging with proportional transaction costs in stochastic volatility models with jumps," Working Papers hal-00979199, HAL.
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