Limit theorem for Leland's strategy

S. Pergamenshchikov

doi:10.1214/aoap/1060202836

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Home > Journals > Ann. Appl. Probab. > Volume 13 > Issue 3 > Article

August 2003 Limit theorem for Leland's strategy

S. Pergamenshchikov

Ann. Appl. Probab. 13(3): 1099-1118 (August 2003). DOI: 10.1214/aoap/1060202836

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