On Leland's Strategy of Option Pricing with Transaction Costs
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- Yuri M. Kabanov & (*), Mher M. Safarian, 1997. "On Leland's strategy of option pricing with transactions costs," Finance and Stochastics, Springer, vol. 1(3), pages 239-250.
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- Thai Huu Nguyen & Serguei Pergamenschchikov, 2015. "Approximate hedging with proportional transaction costs in stochastic volatility models with jumps," Papers 1505.02627, arXiv.org.
- 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.
- Erindi Allaj, 2013. "Implicit transaction costs and the fundamental theorems of asset pricing," Papers 1310.1882, arXiv.org, revised Jul 2017.
- repec:dau:papers:123456789/5374 is not listed on IDEAS
- 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.
- Sebastien Darses & Emmanuel Denis, 2010. "Limit Theorem for a Modified Leland Hedging Strategy under Constant Transaction Costs rate," Working Papers hal-00467704, HAL.
- repec:wsi:ijtafx:v:20:y:2017:i:04:n:s0219024917500248 is not listed on IDEAS
- Elettra Agliardi & Rainer Andergassen, 2007. "(S,S)-Adjustment Strategies And Dynamic Hedging," Working Paper series 09_07, Rimini Centre for Economic Analysis.
- Pellizzari, P., 2005.
"Static hedging of multivariate derivatives by simulation,"
European Journal of Operational Research,
Elsevier, vol. 166(2), pages 507-519, October.
- Paolo Pellizzari, 2003. "Static Hedging of Multivariate Derivatives by Simulation," Finance 0311013, EconWPA, revised 04 Dec 2003.
- Thai Huu Nguyen & Serguei Pergamenshchikov, 2015. "Approximate hedging problem with transaction costs in stochastic volatility markets," Papers 1505.02546, arXiv.org.
- Joel Vanden, 2006. "Exact Superreplication Strategies for a Class of Derivative Assets," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(1), pages 61-87.
- repec:dau:papers:123456789/4654 is not listed on IDEAS
- Ehsan Azmoodeh, 2010. "On the fractional Black-Scholes market with transaction costs," Papers 1005.0211, arXiv.org.
- 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.
- Ostermark, Ralf, 1998. "Call option pricing and replication under economic friction," European Journal of Operational Research, Elsevier, vol. 108(1), pages 184-195, July.
- 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.
- Huu Thai Nguyen & Serguei Pergamenchtchikov, 2012.
"Approximate hedging problem with transaction costs in stochastic volatility markets,"
- Huu Thai Nguyen & Serguei Pergamenchtchikov, 2012. "Approximate hedging problem with transaction costs in stochastic volatility markets," Working Papers hal-00808608, HAL.
- 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.
- Huu Thai Nguyen & Serguei Pergamenchtchikov, 2014. "Approximate hedging with proportional transaction costs in stochastic volatility models with jumps," Working Papers hal-00979199, HAL.
More about this item
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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