111
Views
7
CrossRef citations to date
0
Altmetric
Original Articles

Approximate Hedging in a Local Volatility Model with Proportional Transaction Costs

&
Pages 313-341 | Received 15 May 2012, Accepted 18 Oct 2013, Published online: 23 Jan 2014

References

  • Bouchouev, I., & Isakov, V. (1999). Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets. Inverse Problems, 15(3), R95–R116.
  • Darses, S., & Lepinette, E. (2014). Limit theorem for a modified Leland hedging strategy under constant transaction costs rate. In Y. Kabanov, M. Rutkowski, & T. Zariphopoulou (Eds.), The Musiela Festschrift (Vol. XVIII, 536 p.). Berlin: Springer.
  • Denis, E. (2008). Marchés avec Coûts de Transactions: Approximation de Leland et Arbitrage. (Thesis). University of Franche-Comté. Retrieved from http://artur.univ-fcomte.fr/ST/MATHAPP/these/denis.pdf
  • Denis-Lépinette, E. (2010). Approximate hedging of contingent claims under transaction costs. Applied Mathematical Finance, 17, 491–518.
  • Egger, H., Hein, T., & Hofmann, B. (2006). On decoupling of volatility smile and term structure in inverse option pricing. Inverse Problems, 22(4), 1247–1259.
  • Friedman, A. (1975). Stochastic differential equations and applications (Vol. 1). New York, NY: Academic Press.
  • Friedman, A. (1964). Partial differential equations of parabolic type (347 pp). Englewood Cliffs, NJ: Prentice-Hall.
  • Karatzas, I., & Shreve, S. E. (1987). Brownian motion and stochastic calculus. Berlin: Springer.
  • Leland, H. (1985). Option pricing and replication with transactions costs. Journal of Finance, XL(5), 1283–1301.
  • Lépinette, E. (2012). Modified Leland’s strategy for constant transaction costs rate. Mathematical Finance, 22(4), 741–752.
  • Lions, P. L., & Musiela, M. (2006). Convexity of solutions of parabolic equations. Comptes Rendus de l’Académie des Sciences – Series I, 342, 915–921.
  • Martini, C. (1999). Propagation of convexity by Markovian and Martingalian semi-groups. Potential Analysis, 10, 133–175.
  • Pergamenshchikov, S. (2003). Limit theorem for Leland’s strategy. The Annals of Applied Probability, 13, 1099–1118.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.