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Article Dans Une Revue Applied Mathematical Finance Année : 2014

APPROXIMATE HEDGING IN A LOCAL VOLATILITY MODEL WITH PROPORTIONAL TRANSACTION COSTS

Résumé

Local volatility models are popular because they can be simply calibrated to the market of European options. We extend the results of [4], [3] for such models, i.e. we propose a modi ed Leland method which allows us to approximately replicate a European contingent claim when the market is under proportional transaction costs.
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Dates et versions

hal-00687389 , version 1 (15-04-2012)

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  • HAL Id : hal-00687389 , version 1

Citer

Emmanuel Lépinette, Tuan Tran Quoc. APPROXIMATE HEDGING IN A LOCAL VOLATILITY MODEL WITH PROPORTIONAL TRANSACTION COSTS. Applied Mathematical Finance, 2014, 21 (4), pp.313-341. ⟨hal-00687389⟩
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