-
APPROXIMATE HEDGING IN A LOCAL VOLATILITY MODEL WITH PROPORTIONAL TRANSACTION...
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... -
Leland's Approximations for Concave Pay-Off Functions
International audience -
Approximate hedging with proportional transaction costs in stochastic volatil...
We extend the resutls for the problem of option replication under proportional transaction costs in \cite{Nguyen} to more general frameworks where stochastic...
