Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders (Q4971981): Difference between revisions

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+Optimal execution with nonlinear impact functions and trading-enhanced risk
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+High-frequency trading in a limit order book
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+Hedging and Portfolio Optimization in Financial Markets with a Large Trader
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+Hedging with temporary price impact
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+Option pricing with transaction costs and a nonlinear Black-Scholes equation
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+Hedging of Covered Options with Linear Market Impact and Gamma Constraint
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+Approximation schemes for monotone systems of nonlinear second order partial differential equations: convergence result and error estimate
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+Optimal execution with limit and market orders
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+Normal rank
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+RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES
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+Incorporating order-flow into optimal execution
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+Q5263525
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+Liquidity risk and arbitrage pricing theory
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+Option hedging for small investors under liquidity costs
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+HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup>
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+European Option Pricing with Transaction Costs
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+Q2787919
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+Optimal market making
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+Optimal Portfolio Liquidation with Limit Orders
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+OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT
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+Large Investor Trading Impacts on Volatility
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+Dynamic hedging portfolios for derivative securities in the presence of large transaction costs
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+Simulations of transaction costs and optimal rehedging
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+Curve following in illiquid markets
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+Continuous-time stochastic control and optimization with financial applications
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+Liquidity risk, price impacts and the replication problem
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+THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING
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+There is no nontrivial hedging portfolio for option pricing with transaction costs
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