Hedging with temporary price impact
From MaRDI portal
Publication:513749
DOI10.1007/s11579-016-0178-4zbMath1409.91226arXiv1510.03223WikidataQ57635840 ScholiaQ57635840MaRDI QIDQ513749
Moritz Voß, Peter Bank, Halil Mete Soner
Publication date: 7 March 2017
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1510.03223
hedging; price impact; Bachelier model; European contingent claim; illiquid markets; portfolio tracking
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
91G10: Portfolio theory
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