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Limit theorem for Leland's strategy

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References

1973The Pricing of Options and Corporate Liabilities29,064 cited
2007Brownian Motion and Stochastic Calculus7,544 cited
1985Option Pricing and Replication with Transactions Costs916 cited
1999Quantile hedging294 cited
2002On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper123 cited
1997On Leland's strategy of option pricing with transactions costs96 cited
1995Limit Theorem on Option Replication Cost with Transaction Costs79 cited
1998Option replication with transaction costs: general diffusion limits36 cited

Cited by

2010Mean square error for the Leland–Lott hedging strategy: convex pay-offs22 cited
2009THE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGY22 cited

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