Pages that link to "Item:Q650751"
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The following pages link to Option hedging for small investors under liquidity costs (Q650751):
Displayed 36 items.
- Superreplication when trading at market indifference prices (Q261922) (← links)
- Almost-sure hedging with permanent price impact (Q309172) (← links)
- Utility maximization in an illiquid market in continuous time (Q343809) (← links)
- Duality and convergence for binomial markets with friction (Q354186) (← links)
- Optimal portfolio selection under concave price impact (Q360368) (← links)
- Asset liquidity and the valuation of derivative securities (Q442747) (← links)
- Signing trades and an evaluation of the Lee-Ready algorithm (Q470417) (← links)
- Liquidity risk, price impacts and the replication problem (Q483927) (← links)
- Optimal investment strategies with a reallocation constraint (Q992044) (← links)
- Option pricing with linear market impact and nonlinear Black-Scholes equations (Q1617139) (← links)
- Option pricing for a large trader with price impact and liquidity costs (Q1684699) (← links)
- Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach (Q1719648) (← links)
- Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies (Q1740520) (← links)
- Dual formulation of second order target problems (Q1948690) (← links)
- The self-financing equation in limit order book markets (Q1999602) (← links)
- Liquidity risk and the term structure of interest rates (Q2018551) (← links)
- Analytical valuation for geometric Asian options in illiquid markets (Q2150932) (← links)
- An infinite-dimensional model of liquidity in financial markets (Q2241898) (← links)
- Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset (Q2251580) (← links)
- Pricing European options in a discrete time model for the limit order book (Q2283686) (← links)
- Hedging, arbitrage and optimality with superlinear frictions (Q2354892) (← links)
- Merton problem in an infinite horizon and a discrete time with frictions (Q2358298) (← links)
- Option prices under liquidity risk as weak solutions of semilinear diffusion equations (Q2410980) (← links)
- Hedging in an illiquid binomial market (Q2510779) (← links)
- A Mathematical Theory of Financial Bubbles (Q2847835) (← links)
- RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY (Q2862513) (← links)
- SUPERHEDGING IN ILLIQUID MARKETS (Q3008489) (← links)
- Option Replication in Discrete Time with Illiquidity (Q3176524) (← links)
- LOCAL RISK-MINIMIZATION WITH MULTIPLE ASSETS UNDER ILLIQUIDITY WITH APPLICATIONS IN ENERGY MARKETS (Q4571703) (← links)
- Hedging of Covered Options with Linear Market Impact and Gamma Constraint (Q4588841) (← links)
- LIQUIDITY IN A BINOMIAL MARKET (Q4906530) (← links)
- Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders (Q4971981) (← links)
- Optimal control of ultradiffusion processes with application to mathematical finance (Q4983283) (← links)
- OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT (Q5283404) (← links)
- Utility maximization in an illiquid market (Q5410805) (← links)
- Hedging with physical or cash settlement under transient multiplicative price impact (Q6130331) (← links)