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- W2004164071 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." @default.
- W2004164071 created "2016-06-24" @default.
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- W2004164071 date "2003-08-01" @default.
- W2004164071 modified "2023-09-23" @default.
- W2004164071 title "Limit theorem for Leland's strategy" @default.
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- W2004164071 doi "https://doi.org/10.1214/aoap/1060202836" @default.
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