Scaling limits for super-replication with transient price impact
From MaRDI portal
Publication:2174997
DOI10.3150/19-BEJ1189zbMath1434.91061arXiv1810.07832MaRDI QIDQ2174997
Publication date: 27 April 2020
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1810.07832
91G20: Derivative securities (option pricing, hedging, etc.)