Hedging errors with Leland's option model in the presence of transaction costs

Finance Research Letters

Volumn 4, Issue 1, 2007, Pages 49-58

  Zhao, Yonggan ^a,b   Ziemba, William T ^c  

^a DALHOUSIE UNIVERSITY   (Canada)

^b NANYANG TECHNOLOGICAL UNIVERSITY   (Singapore)

^c UNIVERSITY OF BRITISH COLUMBIA   (Canada)

Author keywords

Expected percentage of hedging losses; Option pricing and hedging; Transaction costs

Indexed keywords

EID: 33847356982     PISSN: 15446123     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.frl.2006.09.002     Document Type: Article

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