Continuous-time duality for superreplication with transient price impact
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Publication:2299594
DOI10.1214/19-AAP1498zbMath1444.91194arXiv1808.09807MaRDI QIDQ2299594
Publication date: 21 February 2020
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1808.09807
Related Items (2)
Scaling limits for super-replication with transient price impact ⋮ Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters
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