Hedging with physical or cash settlement under transient multiplicative price impact
DOI10.1007/s00780-024-00531-7arXiv1807.05917OpenAlexW4392850455MaRDI QIDQ6130331
Publication date: 2 April 2024
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1807.05917
viscosity solutionhedgingresiliencetransient price impacteffective coordinatesgeometric dynamical programmingmultiplicative impactoption settlement
Dynamic programming in optimal control and differential games (49L20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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