Option pricing with linear market impact and nonlinear Black-Scholes equations (Q1617139)

From MaRDI portal
Revision as of 09:39, 30 July 2024 by Openalex240730090724 (talk | contribs) (Set OpenAlex properties.)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
scientific article
Language Label Description Also known as
English
Option pricing with linear market impact and nonlinear Black-Scholes equations
scientific article

    Statements

    title
    Option pricing with linear market impact and nonlinear Black-Scholes equations (English)
    0 references
    publication date
    7 November 2018
    0 references
    zbMATH Keywords
    hedging
    0 references
    price impact
    0 references
    fully nonlinear parabolic equations
    0 references
    author
    Grégoire Loeper
    0 references
    cites work
    Q5520962
    0 references
    Q4086524
    0 references
    Q5187597
    0 references
    Q2778802
    0 references
    Q4002114
    0 references
    Q4354424
    0 references
    Q4235027
    0 references
    Q5489390
    0 references
    Q4805362
    0 references

    Identifiers

    DOI
    10.1214/17-AAP1367
    0 references
    zbMATH DE Number
    6974762
    0 references
    arXiv ID
    1301.6252
    0 references
    OpenAlex ID
    W3125317303
    0 references
     
    Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q1617139&oldid=37120472"
    Powered by MediaWiki