Option pricing for a large trader with price impact and liquidity costs
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Publication:1684699
DOI10.1016/j.jmaa.2017.10.072zbMath1415.91285OpenAlexW2767432952MaRDI QIDQ1684699
Publication date: 12 December 2017
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2017.10.072
Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
Related Items (4)
An infinite-dimensional model of liquidity in financial markets ⋮ Portfolio optimization for a large investor under partial information and price impact ⋮ A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables ⋮ Robust numerical algorithm to the European option with illiquid markets
Cites Work
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- VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Hedging and Portfolio Optimization in Financial Markets with a Large Trader
- A market-induced mechanism for stock pinning
- European Option Pricing with Transaction Costs
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