Limit theorem for Leland's strategy

Authors
Pergamenshchikov, S.
Citation
S. Pergamenshchikov,, Limit theorem for Leland's strategy, Annals of applied probability , 13(3), 2003, pp. 1099-1118
Journal title
Annals of applied probability → ACNP
ISSN journal
10505164
Volume
13
Issue
3
Year of publication
2003
Pages
1099 - 1118
Database
ACNP
SICI code
Abstract
The Leland strategy for an approximate hedging of the call option under transactions costs is studied. The rate of convergence in the Kabanov--Safarian theorem for the Leland strategy is found. The limit theorem for the hedging portfolio is proved.