Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact
type: Item
instance of: scholarly article
title: Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact
zbMATH Open document ID: 1522.91271
arXiv ID: 1910.01778
author: Ibrahim Ekren
author: Sergey Nadtochiy
published in: Mathematical Finance
publication date: 2023-09-28T00:00:00Z
full work available at URL: https://arxiv.org/abs/1910.01778
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 49L12
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 7743062
zbMATH Keywords: hedging of contingent claims
zbMATH Keywords: HJB equation
zbMATH Keywords: price impact
zbMATH Keywords: utility-indifference price
MaRDI profile type: Publication
OpenAlex ID: W3186539424
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DOI: 10.1111/MAFI.12330
description: scientific article; zbMATH DE number 7743062