Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact
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Publication:6054406
DOI10.1111/mafi.12330zbMath1522.91271arXiv1910.01778OpenAlexW3186539424MaRDI QIDQ6054406
Ibrahim Ekren, Sergey Nadtochiy
Publication date: 28 September 2023
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1910.01778
Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Hamilton-Jacobi equations in optimal control and differential games (49L12)
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