Option pricing with linear market impact and nonlinear Black-Scholes equations
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Publication:1617139
DOI10.1214/17-AAP1367zbMath1417.91511arXiv1301.6252OpenAlexW3125317303MaRDI QIDQ1617139
Publication date: 7 November 2018
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1301.6252
Related Items (9)
Price impact on term structure ⋮ Understanding the dual formulation for the hedging of path-dependent options with price impact ⋮ Hedging of Covered Options with Linear Market Impact and Gamma Constraint ⋮ Strategic Execution Trajectories ⋮ Kyle-back models with risk aversion and non-Gaussian beliefs ⋮ Interior second derivatives estimates for nonlinear diffusions ⋮ 2017 MATRIX annals ⋮ Second-Order Stochastic Target Problems with Generalized Market Impact ⋮ Market impact: a systematic study of the high frequency options market
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