OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT (Q5283404): Difference between revisions

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-.1111/mafi.12102
@@ Property / DOI: 10.1111/mafi.12102 / rank @@
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+.4342
@@ Property / arXiv ID: 1311.4342 / rank @@
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@@ Property / cites work @@
+Hedging and Portfolio Optimization in Financial Markets with a Large Trader
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+Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
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+Option pricing with transaction costs and a nonlinear Black-Scholes equation
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+MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
@@ Property / cites work: MODELING LIQUIDITY EFFECTS IN DISCRETE TIME / rank @@
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+Liquidity risk and arbitrage pricing theory
@@ Property / cites work: Liquidity risk and arbitrage pricing theory / rank @@
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+Option hedging for small investors under liquidity costs
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+Two approximations of solutions of Hamilton-Jacobi 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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+A closed-form solution to the problem of super-replication under transaction costs
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+Semi-Lagrangian schemes for Hamilton-Jacobi equations, discrete representation formulae and Godunov methods
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+No-dynamic-arbitrage and market impact
@@ Property / cites work: No-dynamic-arbitrage and market impact / rank @@
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+Optimal Execution and Block Trade Pricing: A General Framework
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+ACCELERATED SHARE REPURCHASE: PRICING AND EXECUTION STRATEGY
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+Optimal accelerated share repurchases
@@ Property / cites work: Optimal accelerated share repurchases / rank @@
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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 COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING
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+HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES?
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+Optimal Basket Liquidation for CARA Investors is Deterministic
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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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@@ Property / DOI @@
+.1111/MAFI.12102
@@ Property / DOI: 10.1111/MAFI.12102 / rank @@
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