Scaling limits for super-replication with transient price impact

DOI10.3150/19-BEJ1189zbMath1434.91061arXiv1810.07832MaRDI QIDQ2174997

Yan Dolinsky, Peter Bank

Publication date: 27 April 2020

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.07832

zbMATH Keywords

scaling limit; super-replication; liquidity; binomial model; transient price impact

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

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