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Comments on “Hedging errors with Leland's option model in the presence of transactions costs”
5 references·0 citing·19 second hop
Comments on “Hedging errors with Leland's option model in the presence of transactions costs” (2007)Comments on “Hedging errors with Leland's…Hedging errors with Leland's option model in the presence of transaction costs (2006)Hedging errors with Leland's …Leland's Approach to Option Pricing: The Evolution of a Discontinuity (2001)Leland's Approach to Option P…On Leland's strategy of option pricing with transactions costs (1997)On Leland's strategy of optio…Option Pricing and Replication with Transactions Costs (1985)Option Pricing and Replicatio…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Option pricing: A simplified approach (1979)Implied Binomial Trees (1994)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Limit Theorems for Stochastic Processes (1987)EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH (2005)On the risk‐adjusted pricing‐methodology‐based valuationof vanilla options and explanation of the volatility smile (2005)Dynamic hedging of basket options under proportional transaction costs using receding horizon control (2009)Portfolio selection with transactions costs (1976)The Valuation of Uncertain Income Streams and the Pricing of Options (1976)Portfolio Selection with Transaction Costs (1990)Volume, Volatility, Price, and Profit When All Traders Are Above Average (1998)An Engine, Not a Camera (2006)Transformation Methods for Evaluating Approximations to the Optimal Exercise Boundary for Linear and Nonlinear Black-Scholes Equations (2008)Mean square error for the Leland–Lott hedging strategy: convex pay-offs (2010)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1985Option Pricing and Replication with Transactions Costs916 cited
  • 1997On Leland's strategy of option pricing with transactions costs96 cited
  • 2006Hedging errors with Leland's option model in the presence of transaction costs33 cited
  • 2001Leland's Approach to Option Pricing: The Evolution of a Discontinuity25 cited

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