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OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT - MaRDI portal

OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT (Q5283404)

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scientific article; zbMATH DE number 6751207
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English
OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT
scientific article; zbMATH DE number 6751207

    Statements

    title
    OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT (English)
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    DOI
    10.1111/mafi.12102
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    author
    Olivier Guéant
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    Jiang Pu
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    publication date
    21 July 2017
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    Mathematics Subject Classification ID
    91G20
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    91G60
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    35K55
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    zbMATH DE Number
    6751207
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    zbMATH Keywords
    option pricing
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    option hedging
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    illiquid markets
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    optimal execution
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    stochastic optimal control
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    OpenAlex ID
    W2268929863
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    arXiv ID
    1311.4342
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    cites work
     
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