Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact

DOI10.1137/21M1456431zbMath1484.91473arXiv2111.00451OpenAlexW4221010398MaRDI QIDQ5065082

Yan Dolinsky, Shir Moshe

Publication date: 18 March 2022

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

Full work available at URL: https://arxiv.org/abs/2111.00451

zbMATH Keywords

asymptotic analysisutility indifference pricinglinear price impact

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Almost-sure hedging with permanent price impact
• Option pricing with transaction costs and a nonlinear Black-Scholes equation
• Trading with small nonlinear price impact
• Hedging, arbitrage and optimality with superlinear frictions
• The pricing of contingent claims and optimal positions in asymptotically complete markets
• Optimal Investment with Transient Price Impact
• Nonlinear price impact and portfolio choice
• Optimal execution strategies in limit order books with general shape functions
• A Market Impact Game Under Transient Price Impact
• Optimal trade execution in order books with stochastic liquidity
• A simple microstructural explanation of the concavity of price impact
• Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case
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