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 …

Local volatility models are popular as they can be calibrated to the market of European
options by the simple Dupire formula. For such a model, we propose a modified Leland …

We study the modified Leland's strategy defined in Lépinette (Math. Finance 22 (4): 741–
752, 2012) for hedging portfolios in the presence of a constant proportional transaction costs …

We study super-replication of contingent claims in markets with fixed transaction costs. This
can be viewed as a stochastic impulse control problem with a terminal state constraint. The …

In this work, we are concerned with the theoretical study of a nonlinear Black-Scholes
equation resulting from market frictions. We will focus our attention on Barles and Soner's …

In the present paper, we focus on the diverging behavior of discrecte hedging error with
transaction costs. We added the hedging cost to the error directly. The main idea is to divide …

This paper deals with the task of pricing European basket options in the presence of
transaction costs. We develop a model that incorporates the illiquidity of the market into the …

Discrete time models of portfolio optimisation and option pricing are studied under the
effects of proportional transaction costs. In a multi-period portfolio selection problem, an …

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 …

Les mathématiques financières constituent un domaine des mathématiques appliquées
ayant pour objectif la modélisation des phénomènes régissant les marchés financiers. Elles …