Approximate hedging in a local volatility model with proportional transaction costs

hal.structure.identifier
dc.contributor.author	Quoc, Tuan Tran	*
hal.structure.identifier
dc.contributor.author	Lépinette, Emmanuel	*
dc.date.accessioned	2012-04-23T14:34:18Z
dc.date.available	2012-04-23T14:34:18Z
dc.date.issued	2014
dc.identifier.uri	https://basepub.dauphine.fr/handle/123456789/9011
dc.language.iso	en	en
dc.subject	transaction costs	en
dc.subject	Leland strategy	en
dc.subject	approximate hedging	en
dc.subject	Black-Scholes formula	en
dc.subject.ddc	332	en
dc.subject.classificationjel	D23	en
dc.title	Approximate hedging in a local volatility model with proportional transaction costs	en
dc.type	Article accepté pour publication ou publié
dc.description.abstracten	Local volatility models are popular because they can be simply calibrated to the market of European options. We extend the results of [4], [3] for such models, i.e. we propose a modi ed Leland method which allows us to approximately replicate a European contingent claim when the market is under proportional transaction costs.	en
dc.relation.isversionofjnlname	Applied Mathematical Finance
dc.relation.isversionofjnlvol	21
dc.relation.isversionofjnlissue	4
dc.relation.isversionofjnldate	2014
dc.relation.isversionofjnlpages	313-341
dc.relation.isversionofdoi	http://dx.doi.org/10.1080/1350486X.2013.871802
dc.identifier.urlsite	http://hal.archives-ouvertes.fr/hal-00687389	en
dc.description.sponsorshipprivate	oui	en
dc.relation.isversionofjnlpublisher	Chapman & Hall
dc.subject.ddclabel	Economie financière	en
hal.author.function	aut
hal.author.function	aut

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