Option hedging for small investors under liquidity costs (Q650751): Difference between revisions

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+W2141791186
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+Q57635925
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+Hedging and Portfolio Optimization in Financial Markets with a Large Trader
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+Option pricing with transaction costs and a nonlinear Black-Scholes equation
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+Liquidity risk and arbitrage pricing theory
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+MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
@@ Property / cites work: MODELING LIQUIDITY EFFECTS IN DISCRETE TIME / rank @@
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+The multi-dimensional super-replication problem under gamma constraints
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+Small time path behavior of double stochastic integrals and applications to stochastic control
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+Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
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+User’s guide to viscosity solutions of second order partial differential equations
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+HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup>
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+Hedging options for a large investor and forward-backward SDE's
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+Super-replication in stochastic volatility models under portfolio constraints
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+European Option Pricing with Transaction Costs
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+Q4032143
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+Perfect option hedging for a large trader
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+LIQUIDITY IN A BINOMIAL MARKET
@@ Property / cites work: LIQUIDITY IN A BINOMIAL MARKET / rank @@
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+A CERTAIN PROPERTY OF SOLUTIONS OF PARABOLIC EQUATIONS WITH MEASURABLE COEFFICIENTS
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+Q3671334
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+On Feedback Effects from Hedging Derivatives
@@ Property / cites work: On Feedback Effects from Hedging Derivatives / rank @@
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+The Feedback Effect of Hedging in Illiquid Markets
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+General Black-Scholes models accounting for increased market volatility from hedging strategies
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+Superreplication Under Gamma Constraints
@@ Property / cites work: Superreplication Under Gamma Constraints / rank @@
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+Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions
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+Dynamic programming for stochastic target problems and geometric flows
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+The Dynamic Programming Equation for Second Order Stochastic Target Problems
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