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Modified Leland's Strategy for a Constant Transaction Costs Rate

hal.structure.identifier
dc.contributor.authorLépinette, Emmanuel*
dc.date.accessioned2011-07-04T09:40:35Z
dc.date.available2011-07-04T09:40:35Z
dc.date.issued2012
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/6640
dc.language.isoenen
dc.subjectLeland's Strategyen
dc.subjectConstant Transaction Costs Rateen
dc.subject.ddc519en
dc.titleModified Leland's Strategy for a Constant Transaction Costs Rateen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenIn 1985 Leland suggested an approach to price contingent claims under proportional transaction costs. Its main idea is to use the classical Black-Scholes formula with a suitably adjusted volatility for a periodical revision of the portfolio whose terminal value approximates the pay-off. Unfortunately, if the transaction costs rate does not depend on the number of revisions, the approximation error does not converge to zero as the frequency of revisions tends to infinity. In the present paper, we suggest a modification of Leland's strategy ensuring that the approximation error vanishes in the limit.en
dc.relation.isversionofjnlnameMathematical Finance
dc.relation.isversionofjnlvol22
dc.relation.isversionofjnlissue4
dc.relation.isversionofjnldate2012
dc.relation.isversionofjnlpages741-752
dc.relation.isversionofdoihttp://dx.doi.org/10.1111/j.1467-9965.2011.00498.x
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00603172/fr/en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherWiley
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
hal.author.functionaut


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