Almost-sure hedging with permanent price impact
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Publication:309172
DOI10.1007/s00780-016-0295-1zbMath1369.91172arXiv1503.05475OpenAlexW2156894747MaRDI QIDQ309172
Grégoire Loeper, Bruno Bouchard, Yiyi Zou
Publication date: 7 September 2016
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1503.05475
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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