Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact (Q6054406)
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scientific article; zbMATH DE number 7743062
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact |
scientific article; zbMATH DE number 7743062 |
Statements
Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact (English)
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28 September 2023
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hedging of contingent claims
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HJB equation
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price impact
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utility-indifference price
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