Show simple item record

Mean Square Error and Limit Theorem for the Modi fied Leland Hedging Strategy with a Constant Transaction Costs Coefficient

hal.structure.identifier
dc.contributor.authorLépinette, Emmanuel*
hal.structure.identifier
dc.contributor.authorDarses, Sébastien*
dc.date.accessioned2012-05-31T09:57:49Z
dc.date.available2012-05-31T09:57:49Z
dc.date.issued2014
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/9308
dc.language.isoenen
dc.subjectmartingale limit theoremen
dc.subjectasymptotic hedgingen
dc.subjectLeland-Lott strategyen
dc.subjecttransaction costsen
dc.subject.ddc519en
dc.subject.classificationjelD23en
dc.titleMean Square Error and Limit Theorem for the Modi fied Leland Hedging Strategy with a Constant Transaction Costs Coefficienten
dc.typeChapitre d'ouvrage
dc.contributor.editoruniversityotherLaboratoire d'Analyse, Topologie, Probabilités (LATP) http://www.latp.univ-mrs.fr CNRS : UMR6632 – Université de Provence - Aix-Marseille I – Université Paul Cézanne - Aix-Marseille III;France
dc.description.abstractenWe 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.en
dc.identifier.citationpages159-199en
dc.relation.ispartoftitleInspired by Finance. The Musiela Festschrift
dc.relation.ispartofeditorZariphopoulou, Thaleia
dc.relation.ispartofeditorRutkowski, Marek
dc.relation.ispartofeditorKabanov, Yuri
dc.relation.ispartofpublnameSpringer
dc.relation.ispartofpublcityBerlin
dc.relation.ispartofdate2014
dc.relation.ispartofurlhttp://dx.doi.org/10.1007/978-3-319-02069-3
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/978-3-319-02069-3_8
dc.description.sponsorshipprivateouien
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.ispartofisbn978-3-319-02068-6
hal.author.functionaut
hal.author.functionaut


Files in this item

Thumbnail
Name:
Denis dd_leland-Pub.pdf
Size:
460.9Kb
Format:
PDF
View/Open

This item appears in the following Collection(s)

Show simple item record