Trading with small nonlinear price impact
From MaRDI portal
Publication:2192738
DOI10.1214/19-AAP1513zbMath1447.91157OpenAlexW2767479030MaRDI QIDQ2192738
Thomas Cayé, Johannes Muhle-Karbe, Martin Herdegen
Publication date: 17 August 2020
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aoap/1591603220
Related Items
Dynamic mean-variance problem with frictions, Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact, Asset pricing with general transaction costs: Theory and numerics, Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact, Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case, Optimal Investment with Transient Price Impact
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Dynamic portfolio choice with frictions
- Duality and convergence for binomial markets with friction
- Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
- Efficient discretization of stochastic integrals
- Hedging with temporary price impact
- The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models
- On using shadow prices in portfolio optimization with transaction costs
- Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
- A super-martingale property of the optimal portfolio process
- Asymptotic lower bounds for optimal tracking: a linear programming approach
- An expansion in the model space in the context of utility maximization
- Stability of Radner equilibria with respect to small frictions
- Derivative pricing based on local utility maximization
- Optimal investment in incomplete markets when wealth may become negative.
- Asymptotic analysis of optimal investment and consumption with transaction costs.
- Martingales and arbitage in securities markets with transaction costs
- Scaling limits of processes with fast nonlinear mean reversion
- Sensitivity analysis of the utility maximisation problem with respect to model perturbations
- Sensitivity of optimal consumption streams
- Asymptotics for fixed transaction costs
- Hedging, arbitrage and optimality with superlinear frictions
- Asymptotically optimal discretization of hedging strategies with jumps
- Almost sure optimal hedging strategy
- Homogenization and Asymptotics for Small Transaction Costs
- Asymptotically Efficient Discrete Hedging
- OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS
- LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS
- HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES?
- HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12
- An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
- VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Exponential Hedging and Entropic Penalties
- Asymptotic optimal tracking: feedback strategies
- Nonlinear price impact and portfolio choice
- THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS
- The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
- Bounding the maximal height of a diffusion by the time elapsed
