The Annals of Applied Probability · 2003 · 29 citations · 8 references
BusinessFinanceFinancial ManagementAsset PricingFinancial EconomicsPortfolio ManagementHedgingOption PricingOption Pricing ModelsPortfolio TheoryHedging Under Transaction Costs
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.
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The Pricing of Options and Corporate Liabilities
Fischer Black, Myron S. Scholes · Journal of Political Economy · 1973 · 29.4K citations
Option Pricing and Replication with Transactions Costs
Hayne E. Leland · The Journal of Finance · 1985 · 837 citations
Business, Finance, Asset Pricing +16
Hans F�llmer, Peter Leukert · Finance and Stochastics · 1999 · 295 citations