Perfect hedging under endogenous permanent market impacts

DOI10.1007/s00780-017-0352-4zbMath1407.91249arXiv1702.01385OpenAlexW2586188707MaRDI QIDQ1709607

Masaaki Fukasawa, Mitja Stadje

Publication date: 6 April 2018

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.01385

zbMATH Keywords

\(g\)-expectationnonlinear stochastic integralcompleteness conditionsperfect hedgingpermanent market impactutility indifference curve

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)

Related Items (1)

Optimal investment, derivative demand, and arbitrage under price impact

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