Understanding the dual formulation for the hedging of path-dependent options with price impact
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Publication:2170357
DOI10.1214/21-AAP1719zbMath1498.91430arXiv1912.03946OpenAlexW3125271351MaRDI QIDQ2170357
Publication date: 5 September 2022
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1912.03946
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
Related Items (2)
A \(\mathbb{C}^{0, 1}\)-functional Itô's formula and its applications in mathematical finance ⋮ Hedging with physical or cash settlement under transient multiplicative price impact
Cites Work
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