Continuous-time duality for superreplication with transient price impact

DOI10.1214/19-AAP1498zbMath1444.91194arXiv1808.09807MaRDI QIDQ2299594

Peter Bank, Yan Dolinsky

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

zbMATH Keywords

superreplicationdualityshadow priceconsistent price systemspermanent and transient price impact

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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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