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.
Citation
S. Pergamenshchikov. "Limit theorem for Leland's strategy." Ann. Appl. Probab. 13 (3) 1099 - 1118, August 2003. https://doi.org/10.1214/aoap/1060202836
Information