Hedging, arbitrage and optimality with superlinear frictions
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Publication:2354892
DOI10.1214/14-AAP1043zbMath1403.91311arXiv1506.05895OpenAlexW2951583536MaRDI QIDQ2354892
Publication date: 27 July 2015
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1506.05895
utility maximizationmartingale measurearbitragecontinuous timeprice impactmarket depthfeasible trading strategiessuperlinear frictions
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