Limit theorem for Leland's strategy

被引：16

作者：

Pergamenshchikov, S ^{[1
]}

机构：

[1] Univ Rouen, Lab Math Raphael Salem, CNRS, UMR 6085,UFR Sci, F-76821 Mont St Aignan, France

来源：

ANNALS OF APPLIED PROBABILITY | 2003年 / 13卷 / 03期

关键词：

transaction costs; asymptotic hedging; call option; Black-Scholes formula; Leland's strategy;

D O I：

10.1214/aoap/1060202836

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

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.

引用

页码：1099 / 1118

页数：20

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