Articlebronze2003

Limit theorem for Leland's strategy

26 citations0/0 files storedThe Annals of Applied Probability

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

Abstract

The Leland strategy for an approximate hedging of the call option under transactions costs is studied. The rate of convergence in the Kabanov--Safarian theorem for the Leland strategy is found. The limit theorem for the hedging portfolio is proved.

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References

1973The Pricing of Options and Corporate Liabilities 2007Brownian Motion and Stochastic Calculus 1985Option Pricing and Replication with Transactions Costs 1999Quantile hedging 2002On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper 1997On Leland's strategy of option pricing with transactions costs 1995Limit Theorem on Option Replication Cost with Transaction Costs 1998Option replication with transaction costs: general diffusion limits

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2010Mean square error for the Leland–Lott hedging strategy: convex pay-offs 2009THE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGY

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