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Mean square error for the Leland–Lott hedging strategy: convex pay-offs
12 references·0 citing·39 second hop
Mean square error for the Leland–Lott hedging strategy: convex pay-offs (2010)Mean square error for the Leland–Lott hed…Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces (2009)Weak convergence of error pro…Hedging errors with Leland's option model in the presence of transaction costs (2006)Hedging errors with Leland's …EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH (2005)EVALUATING HEDGING ERRORS: AN…Limit theorem for Leland's strategy (2003)Limit theorem for Leland's st…Quantitative approximation of certain stochastic integrals (2002)Quantitative approximation of…Leland's Approach to Option Pricing: The Evolution of a Discontinuity (2001)Leland's Approach to Option P…Discrete time hedging errors for options with irregular payoffs (2001)Discrete time hedging errors …On Leland's strategy of option pricing with transactions costs (1997)On Leland's strategy of optio…MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES (1996)MINIMIZING TRANSACTION COSTS …Theory of Martingales (1989)Theory of MartingalesLimit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…Option Pricing and Replication with Transactions Costs (1985)Option Pricing and Replicatio…Stochastic Differential Equations and Applications (1976)Limit Distributions for the Error in Approximations of Stochastic Integrals (1980)Continuous Martingales and Brownian Motion (1999)Delta-hedging vega risk? (2004)L2 -time regularity of BSDEs with irregular terminal functions (2010)Brownian Motion and Stochastic Calculus (1988)Martingale Methods in Financial Modelling (1997)On approximation of a class of stochastic integrals and interpolation (2004)Weighted BMO and discrete time hedging within the Black-Scholes model (2004)Brownian Motion and Stochastic Calculus (2007)Asymptotic analysis of hedging errors in models with jumps (2008)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Implied Binomial Trees (1994)Comments on “Hedging errors with Leland's option model in the presence of transactions costs” (2007)Asymptotic error distributions for the Euler method for stochastic differential equations (1998)Limit Theorems for Stochastic Processes (2003)Discretization error of stochastic integrals (2011)An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility (2013)Weak rate of convergence of the Euler–Maruyama scheme for stochastic differential equations with non-regular drift (2017)Optimum consumption and portfolio rules in a continuous-time model (1971)Competing Methods for Option Hedging in the Presence of Transaction Costs (2002)Deep Reinforcement Learning for Option Replication and Hedging (2020)Brownian Motion and Stochastic Calculus (1998)Methods of Mathematical Finance (1998)Effectiveness of CPPI strategies under discrete-time trading (2008)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)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)An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions (1999)Mixed Fractional Brownian Motion (2001)Arbitrage in fractional Brownian motion models (2003)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Arbitrage Theory in Continuous Time (1998)Variance Risk Premiums (2008)
this work references cited by second hop

References

  • 1987Limit Theorems for Stochastic Processes1,329 cited
  • 1989Theory of Martingales956 cited
  • 1985Option Pricing and Replication with Transactions Costs916 cited
  • 1997On Leland's strategy of option pricing with transactions costs96 cited
  • 2005EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH85 cited
  • 2001Discrete time hedging errors for options with irregular payoffs72 cited
  • 1996MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES64 cited
  • 2002Quantitative approximation of certain stochastic integrals53 cited
  • 2009Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces39 cited
  • 2006Hedging errors with Leland's option model in the presence of transaction costs33 cited
  • 2003Limit theorem for Leland's strategy26 cited
  • 2001Leland's Approach to Option Pricing: The Evolution of a Discontinuity25 cited

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