PRICING FOR LARGE POSITIONS IN CONTINGENT CLAIMS
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Publication:5283402
DOI10.1111/mafi.12107zbMath1377.91161arXiv1202.4007OpenAlexW2163100419MaRDI QIDQ5283402
Publication date: 21 July 2017
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1202.4007
Utility theory (91B16) Generalizations of martingales (60G48) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (4)
Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire ⋮ Optimal investment, derivative demand, and arbitrage under price impact ⋮ Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model ⋮ INDIFFERENCE PRICING FOR CONTINGENT CLAIMS: LARGE DEVIATIONS EFFECTS
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