OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT
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Publication:5283404
DOI10.1111/mafi.12102zbMath1380.91130arXiv1311.4342OpenAlexW2268929863MaRDI QIDQ5283404
Publication date: 21 July 2017
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1311.4342
Numerical methods (including Monte Carlo methods) (91G60) Nonlinear parabolic equations (35K55) Derivative securities (option pricing, hedging, etc.) (91G20)
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