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Option pricing with linear market impact and nonlinear Black-Scholes equations - MaRDI portal

Option pricing with linear market impact and nonlinear Black-Scholes equations (Q1617139)

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Option pricing with linear market impact and nonlinear Black-Scholes equations
scientific article

    Statements

    title
    Option pricing with linear market impact and nonlinear Black-Scholes equations (English)
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    publication date
    7 November 2018
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    zbMATH Keywords
    hedging
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    price impact
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    fully nonlinear parabolic equations
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    author
    Grégoire Loeper
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    cites work
    Q5520962
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    Q4086524
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    Q5187597
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    Q2778802
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    Q4002114
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    Q4354424
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    Q4235027
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    Q5489390
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    Q4805362
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    Identifiers

    DOI
    10.1214/17-AAP1367
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    zbMATH DE Number
    6974762
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    arXiv ID
    1301.6252
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    OpenAlex ID
    W3125317303
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