Optimal hedging through limit orders
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Publication:2816625
DOI10.1080/15326349.2016.1188014zbMATH Open1415.91275OpenAlexW2417415905MaRDI QIDQ2816625FDOQ2816625
Authors: Rossella Agliardi 
Publication date: 25 August 2016
Published in: Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/15326349.2016.1188014
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Derivative securities (option pricing, hedging, etc.) (91G20) Dynamic programming (90C39) Stochastic programming (90C15) Martingales with continuous parameter (60G44)
Cites Work
- Optimal portfolio liquidation with limit orders
- The cost of illiquidity and its effects on hedging
- Variance-Optimal Hedging in Discrete Time
- General intensity shapes in optimal liquidation
- Optimal high-frequency trading with limit and market orders
- Liquidation in limit order books with controlled intensity
- HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES?
Cited In (7)
- Optimal trading strategies with limit orders
- A Leland model for delta hedging in central risk books
- Hedge and speculate: replicating option payoffs with limit and market orders
- Combination trading with limit orders
- Optimal Liquidation of Child Limit Orders
- Optimal liquidation in a limit order book for a risk-averse investor
- Finite horizon optimal execution with bounded rate of transaction
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