Modified Lelands Strategy For A Constant Transaction Costs Rate
Work
Year: 2012
Type: article
Abstract: In 1985 Leland suggested an approach to price contingent claims under proportional transaction costs. Its main idea is to use the classical Black–Scholes formula with a suitably adjusted volatility fo... more
Source: Mathematical Finance
Author Emmanuel Lépinette
Cites: 12
Cited by: 14
Related to: 10
FWCI: 1.494
Citation percentile (by year/subfield): 84.05
Subfield: Finance
Domain: Social Sciences
Open Access status: green