OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT (Q5283404)

From MaRDI portal
Revision as of 16:37, 30 December 2024 by Import241228121245 (talk | contribs) (Normalize DOI.)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
scientific article; zbMATH DE number 6751207
Language Label Description Also known as
English
OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT
scientific article; zbMATH DE number 6751207

    Statements

    title
    OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT (English)
    0 references
    author
    Olivier Guéant
    0 references
    Jiang Pu
    0 references
    publication date
    21 July 2017
    0 references
    zbMATH Keywords
    option pricing
    0 references
    option hedging
    0 references
    illiquid markets
    0 references
    optimal execution
    0 references
    stochastic optimal control
    0 references
    cites work

    Identifiers

    Mathematics Subject Classification ID
    91G20
    0 references
    91G60
    0 references
    35K55
    0 references
    zbMATH DE Number
    6751207
    0 references
    OpenAlex ID
    W2268929863
    0 references
    arXiv ID
    1311.4342
    0 references
    DOI
    10.1111/MAFI.12102
    0 references
     
    Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q5283404&oldid=39574142"
    Powered by MediaWiki