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dc.contributor.authorLépinette, Emmanuel*
dc.date.accessioned2012-05-30T14:59:35Z
dc.date.available2012-05-30T14:59:35Z
dc.date.issued2009
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/9304
dc.language.isoenen
dc.subjectBlack–Scholes formulaen
dc.subjectTransaction costsen
dc.subjectLeland's strategyen
dc.subjectApproximate hedgingen
dc.subject.ddc332en
dc.subject.classificationjelD23en
dc.titleLeland's Approximations for Concave Pay-Off Functionsen
dc.typeCommunication / Conférence
dc.description.abstractenIn 1985, Leland suggested an approach to pricing contingent claims under proportional transaction costs. Its main idea is to use the classical Black–Scholes formula with a suitably enlarged volatility for a periodically revised portfolio which terminal value approximates the pay-off h(ST). In subsequent studies, Lott (for α = 1/2), Kabanov and Safarian proved that for the call-option, i.e. for h(x) = (x-K)+, Leland's portfolios, indeed, approximate the pay-off if the transaction costs coefficients decreases as n-α for α ∈ ]0, 1/2] where n is the number of revisions. These results can be extended to the case of more general pay-off functions and non-uniform revision intervals [1]. Unfortunately, the terminal values of portfolios do not converge to the pay-off if h is not a convex function. In this paper, we show that we can slightly modify the Leland strategy such that the convergence holds for a large class of concave pay-off functions if α = 1/2.en
dc.identifier.citationpages107-117en
dc.relation.ispartoftitleRecent advances in financial engineering‎, proceedings of the 2008 Daiwa International Workshop on Financial Engineeringen
dc.relation.ispartofeditorKijima, ‎Masaaki
dc.relation.ispartofeditorKabanov‎, Yuri
dc.relation.ispartofpublnameWorld Scientificen
dc.relation.ispartofdate2009
dc.relation.ispartofpages230en
dc.relation.ispartofurlhttp://dx.doi.org/10.1142/9789814273473_0006en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.ispartofisbn978-981-427346-6en
dc.relation.conftitleDaiwa International Workshop on Financial Engineeringen
dc.relation.confdate2008-08
dc.relation.confcityTokyoen
dc.relation.confcountryJaponen
hal.person.labIds*


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