Option pricing for a large trader with price impact and liquidity costs
type: Item
instance of: scholarly article
title: Option pricing for a large trader with price impact and liquidity costs
zbMATH Open document ID: 1415.91285
author: Peng Zhang
published in: Journal of Mathematical Analysis and Applications
publication date: 2017-12-12T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 49L25
zbMATH DE Number: 6817530
zbMATH Keywords: option pricing
zbMATH Keywords: liquidity risk
zbMATH Keywords: large trader
zbMATH Keywords: price impact
zbMATH Keywords: utility maximization
MaRDI profile type: Publication
full work available at URL: j.jmaa.2017.10.072
OpenAlex ID: W2767432952
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DOI: 10.1016/J.JMAA.2017.10.072
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description: scientific article; zbMATH DE number 6817530