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