Mean square error for the Leland-Lott hedging strategy

Moussa Gamys and Yuri Kabanov ()
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Yuri Kabanov: LMB - Laboratoire de Mathématiques de Besançon (UMR 6623) - CNRS - Centre National de la Recherche Scientifique - UFC - Université de Franche-Comté - UBFC - Université Bourgogne Franche-Comté [COMUE]
Authors registered in the RePEc Author Service: Юрий Михайлович Кабанов

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Keywords: Leland strategy; approximate hedging; transaction costs (search for similar items in EconPapers)
Date: 2008
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Published in 2008 Daiwa International Workshop on Financial Engineering, 2008, Japan. pp.1-25

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00488170

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