Hedging with physical or cash settlement under transient multiplicative price impact (Q6130331): Difference between revisions

@@ Property / cites work @@
+Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem
+Normal rank
@@ Property / cites work @@
+Hedging and Portfolio Optimization in Financial Markets with a Large Trader
+Normal rank
@@ Property / cites work @@
+Hedging with temporary price impact
@@ Property / cites work: Hedging with temporary price impact / rank @@
+Normal rank
@@ Property / cites work @@
+An Introduction to the Theory of Viscosity Solutions for First-Order Hamilton–Jacobi Equations and Applications
+Normal rank
@@ Property / cites work @@
+Optimal asset liquidation with multiplicative transient price impact
+Normal rank
@@ Property / cites work @@
+Optimal liquidation under stochastic liquidity
@@ Property / cites work: Optimal liquidation under stochastic liquidity / rank @@
+Normal rank
@@ Property / cites work @@
+Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies
+Normal rank
@@ Property / cites work @@
+Almost-sure hedging with permanent price impact
@@ Property / cites work: Almost-sure hedging with permanent price impact / rank @@
+Normal rank
@@ Property / cites work @@
+Hedging of Covered Options with Linear Market Impact and Gamma Constraint
+Normal rank
@@ Property / cites work @@
+Understanding the dual formulation for the hedging of path-dependent options with price impact
+Normal rank
@@ Property / cites work @@
+Option hedging for small investors under liquidity costs
+Normal rank
@@ Property / cites work @@
+When terminal facelift enforces delta constraints
@@ Property / cites work: When terminal facelift enforces delta constraints / rank @@
+Normal rank
@@ Property / cites work @@
+User’s guide to viscosity solutions of second order partial differential equations
+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 @@
+Nonlinear Black–Scholes Equations in Finance: Associated Control Problems and Properties of Solutions
+Normal rank
@@ Property / cites work @@
+Optimal Execution with Multiplicative Price Impact
+Normal rank
@@ Property / cites work @@
+Price Manipulation and Quasi-Arbitrage
@@ Property / cites work: Price Manipulation and Quasi-Arbitrage / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Execution in a General One-Sided Limit-Order Book
+Normal rank
@@ Property / cites work @@
+The Feedback Effect of Hedging in Illiquid Markets
+Normal rank
@@ Property / cites work @@
+Dynamic programming for stochastic target problems and geometric flows
+Normal rank