On Leland's Strategy of Option Pricing with Transactions Costs
| Author | : Youri Kabanov |
| Publisher | : |
| Total Pages | : |
| Release | : 1998 |
| ISBN-13 | : OCLC:1291272068 |
| ISBN-10 | : |
| Rating | : 4/5 ( Downloads) |
Book Synopsis On Leland's Strategy of Option Pricing with Transactions Costs by : Youri Kabanov
Download or read book On Leland's Strategy of Option Pricing with Transactions Costs written by Youri Kabanov and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We compute the limiting hedging error of the Leland strategy for the approximate pricing of the European call option in a market with transactions costs. It is not equal to zero in the case when the level of transactions costs is a constant, in contradiction to the claim in Leland (1985).
