Hedging Forward Positions: Basis Risk Versus Liquidity Costs

DOI10.1137/130907045zbMath1282.35384OpenAlexW3121356383MaRDI QIDQ2873146

Peter Kratz, Thomas Kruse, Stefan Ankirchner

Publication date: 23 January 2014

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/aa987b7162b5ee35299f300c545f06e9ccee3f90

zbMATH Keywords

optimal stoppinghedgingsingular stochastic controlilliquiditybasis riskoptimal liquidation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Viscosity solutions to PDEs (35D40)

Related Items (1)

BSDEs, Càdlàg Martingale Problems, and Orthogonalization under Basis Risk

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