Almost-sure hedging with permanent price impact (Q309172): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2156894747
@@ Property / OpenAlex ID: W2156894747 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.05475
@@ Property / arXiv ID: 1503.05475 / rank @@
+Normal rank
@@ Property / cites work @@
+The Dynamic Programming Equation for Second Order Stochastic Target Problems
+Normal rank
@@ Property / cites work @@
+Viscosity solutions of Hamilton-Jacobi equations
@@ Property / cites work: Viscosity solutions of Hamilton-Jacobi equations / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic optimal control. The discrete time case
+Normal rank
@@ Property / cites work @@
+Q3415147
@@ Property / cites work: Q3415147 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Target Problems with Controlled Loss
@@ Property / cites work: Stochastic Target Problems with Controlled Loss / rank @@
+Normal rank
@@ Property / cites work @@
+Liquidity risk and arbitrage pricing theory
@@ Property / cites work: Liquidity risk and arbitrage pricing theory / rank @@
+Normal rank
@@ Property / cites work @@
+Option hedging for small investors under liquidity costs
+Normal rank
@@ Property / cites work @@
+The multi-dimensional super-replication problem under gamma constraints
+Normal rank
@@ Property / cites work @@
+Q4425119
@@ Property / cites work: Q4425119 / rank @@
+Normal rank
@@ Property / cites work @@
+Perfect option hedging for a large trader
@@ Property / cites work: Perfect option hedging for a large trader / rank @@
+Normal rank
@@ Property / cites work @@
+Q4354424
@@ Property / cites work: Q4354424 / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing with an illiquid underlying asset market
+Normal rank
@@ Property / cites work @@
+The Feedback Effect of Hedging in Illiquid Markets
+Normal rank
@@ Property / cites work @@
+General Black-Scholes models accounting for increased market volatility from hedging strategies
+Normal rank
@@ Property / cites work @@
+Superreplication Under Gamma Constraints
@@ Property / cites work: Superreplication Under Gamma Constraints / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic programming for stochastic target problems and geometric flows
+Normal rank
@@ Property / cites work @@
+HEDGING UNDER GAMMA CONSTRAINTS BY OPTIMAL STOPPING AND FACE-LIFTING
+Normal rank