Mean square error for the Leland–Lott hedging strategy: convex pay-offs

Emmanuel Denis () and Yuri Kabanov ()
Authors registered in the RePEc Author Service: Emmanuel Lépinette and Юрий Михайлович Кабанов

Finance and Stochastics, 2010, vol. 14, issue 4, 625-667

Keywords: Black–Scholes formula; European option; Transaction costs; Leland–Lott strategy; Approximate hedging; Martingale limit theorem; Diffusion approximation; 60G44; G11; G13 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (18)

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DOI: 10.1007/s00780-010-0130-z

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