
Mean Square Error and Limit Theorem for the Modi fied Leland Hedging Strategy with a Constant Transaction Costs Coefficient
Lépinette, Emmanuel; Darses, Sébastien (2014), Mean Square Error and Limit Theorem for the Modi fied Leland Hedging Strategy with a Constant Transaction Costs Coefficient, in Zariphopoulou, Thaleia; Rutkowski, Marek; Kabanov, Yuri, Inspired by Finance. The Musiela Festschrift, Springer : Berlin, p. 159-199
View/ Open
Type
Chapitre d'ouvrageDate
2014Book title
Inspired by Finance. The Musiela FestschriftBook author
Zariphopoulou, Thaleia; Rutkowski, Marek; Kabanov, YuriPublisher
Springer
Published in
Berlin
ISBN
978-3-319-02068-6
Pages
159-199
Publication identifier
Metadata
Show full item recordAbstract (EN)
We study the Leland model for hedging portfolios in the presence of a constant proportional transaction costs coefficient. The modi fied Leland's strategy defi ned in [2], contrarily to the classical one, ensures the asymptotic replication of a large class of payoff . In this setting, we prove a limit theorem for the deviation between the real portfolio and the payoff . As Pergamenshchikov did in the framework of the usual Leland's strategy [11], we identify the rate of convergence and the associated limit distribution. This rate turns out to be improved using the modi fied strategy and non periodic revision dates.Subjects / Keywords
martingale limit theorem; asymptotic hedging; Leland-Lott strategy; transaction costsRelated items
Showing items related by title and author.
-
Lépinette, Emmanuel; Darses, Sébastien (2011) Chapitre d'ouvrage
-
Lépinette, Emmanuel; Kabanov, Yuri (2010) Article accepté pour publication ou publié
-
Lépinette, Emmanuel; Vu, Duc Thinh (2022) Document de travail / Working paper
-
Lépinette, Emmanuel (2012) Article accepté pour publication ou publié
-
Elie, Romuald; Lépinette, Emmanuel (2015) Article accepté pour publication ou publié