Duality theory for exponential utility-based hedging in the Almgren-Chriss model (Q6500021)

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scientific article; zbMATH DE number 7845398
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Duality theory for exponential utility-based hedging in the Almgren-Chriss model
scientific article; zbMATH DE number 7845398

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    Duality theory for exponential utility-based hedging in the Almgren-Chriss model (English)
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    10 May 2024
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    exponential utility
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    duality
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    linear price impact
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    Bachelier model
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