Limit theorem for Leland's strategy

• 成果类型: Article
• 署名作者: Pergamenshchikov, S
• 署名单位: Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Universite de Rouen Normandie
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/aoap/1060202836
• 发表日期: 2003
• 页码: 1099-1118
• 关键词: replication; COSTS

摘要

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.