OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS
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Cites work
- ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
- Hedging and Portfolio Optimization in Financial Markets with a Large Trader
- Liquidity risk and arbitrage pricing theory
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Optimal exercise of executive stock options
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
- Optimal stopping of the maximum process: a converse to the results of Peskir
- Optimal stopping of the maximum process: The maximality principle
- Perpetual American options in incomplete markets: the infinitely divisible case
- Portfolio Selection with Transaction Costs
- Risk aversion and block exercise of executive stock options
- Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
- Valuing the option to invest in an incomplete market
Cited in
(17)- Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies
- Partial liquidation under reference-dependent preferences
- Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics
- Optimal portfolio liquidation with additional information
- Optimal security liquidation algorithms
- Portfolios of American options under general preferences: results and counterexamples
- An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting
- Optimal hedge fund portfolios under liquidation risk
- Optimal Portfolio Liquidation with Distress Risk
- Optimal deleveraging with nonlinear temporary price impact
- scientific article; zbMATH DE number 5116809 (Why is no real title available?)
- Optimal liquidation of a call spread
- Asset liquidity and the valuation of derivative securities
- Optimal design of derivatives in illiquid markets
- Risk premia and optimal liquidation of credit derivatives
- Optimal liquidation in dark pools
- scientific article; zbMATH DE number 7703253 (Why is no real title available?)
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