Understanding the dual formulation for the hedging of path-dependent options with price impact (Q2170357)
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scientific article
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| default for all languages | No label defined |
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| English | Understanding the dual formulation for the hedging of path-dependent options with price impact |
scientific article |
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Understanding the dual formulation for the hedging of path-dependent options with price impact (English)
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5 September 2022
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Dupire derivative
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market impact
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second order BSDEs
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0.7695420384407043
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0.7673488259315491
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0.7668725848197937
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0.7662953734397888
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0.7618352770805359
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