Hedge and speculate: replicating option payoffs with limit and market orders

DOI10.1137/18M1192706;zbMATH Open1427.91268MaRDI QIDQ4971981FDOQ4971981

Álvaro Cartea, Sebastian Jaimungal, Luhui Gan

Publication date: 22 November 2019

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://epubs.siam.org/doi/pdf/10.1137/18M1192706

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zbMATH Keywords

high-frequency tradingmarket impactoptimal hedgingimpulse controlalgorithmic trading

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

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• The financial mathematics of market liquidity. From optimal execution to market making

Cited In (5)

• Group classification for a class of non-linear models of the RAPM type
• A Leland model for delta hedging in central risk books
• ELS pricing and hedging in a fractional Brownian motion environment
• Title not available (Why is that?)
• Optimal accelerated share repurchases

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