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HEDGING OF AMERICAN OPTIONS IN ILLIQUID MARKETS WITH PRICE IMPACTS - MaRDI portal

HEDGING OF AMERICAN OPTIONS IN ILLIQUID MARKETS WITH PRICE IMPACTS (Q5066293)

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scientific article; zbMATH DE number 7499764
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English
HEDGING OF AMERICAN OPTIONS IN ILLIQUID MARKETS WITH PRICE IMPACTS
scientific article; zbMATH DE number 7499764

    Statements

    title
    HEDGING OF AMERICAN OPTIONS IN ILLIQUID MARKETS WITH PRICE IMPACTS (English)
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    author
    Alexandre F. Roch
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    publication date
    29 March 2022
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    zbMATH Keywords
    American options
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    hedging
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    price manipulation
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    liquidity risk
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    price impacts
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60G40
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    90C17
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    zbMATH DE Number
    7499764
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    OpenAlex ID
    W4207027300
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