Christian Y. Robert, Mathieu Rosenbaum, Econophysics of Order-driven Markets, 2011, 203
Hayne E. Leland, “Comments on “Hedging errors with Leland's option model in the presence of transactions costs””, Finance Research Letters, 4, № 3, 2007, 200
JiFeng He, Lan Wu, “Convergence and optimality of BS-type discrete hedging strategy under stochastic interest rate”, Sci. China Math., 54, № 7, 2011, 1457
Farnaz Farshadmoghadam, Ali Reza Najafi, Mohammad Reza Yaghouti, “European option under a skew version of the GBM model with transaction costs by an RBF method”, Journal of Statistical Computation and Simulation, 91, № 14, 2021, 2986
Tomasz Zastawniak, Krzysztof Tokarz, “Dynamic Programming Algorithms for the Ask and Bid Prices of American Options Under Small Proportional Transaction Costs”, SSRN Journal, 2004
P. Pellizzari, “Static hedging of multivariate derivatives by simulation”, European Journal of Operational Research, 166, № 2, 2005, 507
Rudra P. Jena, Peter Tankov, “Arbitrage Opportunities in Misspecified Stochastic Volatility Models”, SIAM J. Finan. Math., 2, № 1, 2011, 317
Takaki Hayashi, Per A. Mykland, “EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH”, Mathematical Finance, 15, № 2, 2005, 309
Robert Almgren, Tianhui Michael Li, “Option Hedging with Smooth Market Impact”, Mark. Microstructure Liq., 02, № 01, 2016, 1650002
Emmanuel Denis, Yuri Kabanov, “Mean square error for the Leland–Lott hedging strategy: convex pay-offs”, Finance Stoch, 14, № 4, 2010, 625