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Darses, Sebastien's
Scholarly Papers
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1.
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Mean Square Error and Limit Theorem for the Modi fied Leland Hedging Strategy with a
Constant Transaction Costs Coefficient
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Darses, Sebastien
affiliation not provided to SSRN Lepinette-Denis, Emmanuel
Université Paris-Dauphine - CEREMADE
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Posted:
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13 Apr 12
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Last Revised:
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24 Jul 12
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30
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Darses, Sebastien
affiliation not provided to SSRN Lepinette-Denis, Emmanuel
Université Paris-Dauphine - CEREMADE
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11
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asymptotic hedging, Leland-Lott strategy ,transaction costs, martingale limit theorem
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Darses, Sebastien
affiliation not provided to SSRN Lepinette-Denis, Emmanuel
Université Paris-Dauphine - CEREMADE
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19
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asymptotic hedging, Leland-Lott strategy, transaction costs, Martingale limit theorem
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2.
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Darses, Sebastien
affiliation not provided to SSRN Lepinette-Denis, Emmanuel
Université Paris-Dauphine - CEREMADE
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7
(322,643)
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quasi-linear parabolic PDEs, hyperbolic systems, vanishing viscosity method, smooth solutions, stochastic calculus, Feynman-Kac formula, Girsanov’s theorem
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