Pages that link to "Item:Q5065082"
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The following pages link to Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact (Q5065082):
Displaying 6 items.
- Convergence of utility indifference prices to the superreplication price: the whole real line case (Q996718) (← links)
- A scaling limit for utility indifference prices in the discretised Bachelier model (Q2120544) (← links)
- A model for a large investor trading at market indifference prices. I: Single-period case (Q2339125) (← links)
- Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact (Q6054406) (← links)
- Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case (Q6078432) (← links)
- Optimal liquidation with high risk aversion and small linear price impact (Q6581912) (← links)