scientific article; zbMATH DE number 7405349
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Publication:5153851
DOI10.24411/2500-0101-2020-15107zbMath1470.91274MaRDI QIDQ5153851
Publication date: 1 October 2021
Full work available at URL: http://mathnet.ru/eng/chfmj170
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Cites Work
- Hedging with temporary price impact
- Perfect option hedging for a large trader
- Market Volatility and Feedback Effects from Dynamic Hedging
- Reduced form modeling of limit order markets
- THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING
- Hedging and Portfolio Optimization in Financial Markets with a Large Trader
- The Feedback Effect of Hedging in Illiquid Markets
- General Black-Scholes models accounting for increased market volatility from hedging strategies
- Hedging of Covered Options with Linear Market Impact and Gamma Constraint
- Optimal execution with limit and market orders
- Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders
- Optimal execution strategies in limit order books with general shape functions
- OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT
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