Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders
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Publication:4971981
DOI10.1137/18M1192706;zbMath1427.91268MaRDI QIDQ4971981
Álvaro Cartea, Sebastian Jaimungal, Luhui Gan
Publication date: 22 November 2019
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://epubs.siam.org/doi/pdf/10.1137/18M1192706
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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