HEDGING OF AMERICAN OPTIONS IN ILLIQUID MARKETS WITH PRICE IMPACTS
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Publication:5066293
DOI10.1142/S0219024922500017zbMath1484.91489OpenAlexW4207027300MaRDI QIDQ5066293
Publication date: 29 March 2022
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024922500017
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Robustness in mathematical programming (90C17)
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