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22 April 2022 A numerical study on Leland's strategy
Shuo Wu
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Proceedings Volume 12163, International Conference on Statistics, Applied Mathematics, and Computing Science (CSAMCS 2021); 121630P (2022) https://doi.org/10.1117/12.2627641
Event: International Conference on Statistics, Applied Mathematics, and Computing Science (CSAMCS 2021), 2021, Nanjing, China
Abstract
In the present paper, we investigate the converging behavior of Leland’s strategy in approximative hedging. We make a thorough inquiry on how fast the price of the call option, derived from Leland’s strategy, converges to the buy and hold price comparatively to the speed of the hedging error to vanish. For different strategy parameters, we demonstrate numerical results to expose different converging behavior.
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Shuo Wu "A numerical study on Leland's strategy", Proc. SPIE 12163, International Conference on Statistics, Applied Mathematics, and Computing Science (CSAMCS 2021), 121630P (22 April 2022); https://doi.org/10.1117/12.2627641
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KEYWORDS
Monte Carlo methods
Stochastic processes
Computer simulations
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