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Cites work
- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- A model of optimal portfolio selection under liquidity risk and price impact
- Dynamic programming for stochastic target problems and geometric flows
- Exit Time Problems in Optimal Control and Vanishing Viscosity Method
- General Black-Scholes models accounting for increased market volatility from hedging strategies
- Hedging and Portfolio Optimization in Financial Markets with a Large Trader
- Liquidity risk and arbitrage pricing theory
- MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
- Market volatility and feedback effects from dynamic hedging
- On Feedback Effects from Hedging Derivatives
- Option hedging for small investors under liquidity costs
- Option pricing with transaction costs and a nonlinear Black-Scholes equation
- Perfect option hedging for a large trader
- Periodic homogenisation of certain fully nonlinear partial differential equations
- Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
- Superreplication Under Gamma Constraints
- The cost of illiquidity and its effects on hedging
- User’s guide to viscosity solutions of second order partial differential equations
Cited in
(18)- Local risk-minimization with multiple assets under illiquidity with applications in energy markets
- Superreplication when trading at market indifference prices
- Duality and convergence for binomial markets with friction
- Option hedging for small investors under liquidity costs
- Option replication in discrete time with illiquidity
- Resilient price impact of trading and the cost of illiquidity
- Liquidity risk and the term structure of interest rates
- Hedging in an illiquid binomial market
- Super-replication with nonlinear transaction costs and volatility uncertainty
- Merton problem in an infinite horizon and a discrete time with frictions
- Pricing Liquidity in the Stock Market
- Utility maximization in an illiquid market in continuous time
- Scaling limits for super-replication with transient price impact
- Liquidity and market incompleteness
- Pricing European options in a discrete time model for the limit order book
- Utility maximization in an illiquid market
- Multivariate Hawkes-based models in limit order book: European and spread option pricing
- Implied trees in illiquid markets: A Choquet pricing approach
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