Hedging with temporary price impact

DOI10.1007/s11579-016-0178-4zbMath1409.91226arXiv1510.03223OpenAlexW2517735824WikidataQ57635840 ScholiaQ57635840MaRDI QIDQ513749

Moritz Voß, Peter Bank, Halil Mete Soner

Publication date: 7 March 2017

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.03223

zbMATH Keywords

hedgingprice impactBachelier modelEuropean contingent claimilliquid marketsportfolio tracking

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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