Duality theory for exponential utility-based hedging in the Almgren-Chriss model (Q6500021)
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scientific article; zbMATH DE number 7845398
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Duality theory for exponential utility-based hedging in the Almgren-Chriss model |
scientific article; zbMATH DE number 7845398 |
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Duality theory for exponential utility-based hedging in the Almgren-Chriss model (English)
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10 May 2024
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exponential utility
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duality
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linear price impact
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Bachelier model
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