There is a paper Option pricing with transaction costs and a nonlinear black-scholes equation by Guy Barles and Halil Mete Soner. And there is a section about optimal (delta) hedging, which I do not fully understand.
The conclusion of optimal hedge section states that:
So what is g() here? I couldn't find it's definition previously. Can someone give a real (numeric) example of calculations according to this model? I mean something like: we sell a call/put with strike S, it's delta is d, T days to expiration, etc. And after calculation we get the interval [y1, y2].
