Hedging nontradable risks with transaction costs and price impact

DOI10.1111/mafi.12259OpenAlexW2894103496MaRDI QIDQ5855943

Álvaro Cartea, Ryan Donnelly, Sebastian Jaimungal

Publication date: 23 March 2021

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1908.00054

zbMATH Keywords

hedgingprice impactalgorithmic tradingnontradable risk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial markets (91G15)

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