Option hedging for small investors under liquidity costs
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Publication:650751
DOI10.1007/S00780-009-0116-XzbMATH Open1226.91072OpenAlexW2141791186WikidataQ57635925 ScholiaQ57635925MaRDI QIDQ650751FDOQ650751
Authors: Umut Cetin, Nizar Touzi, H. Mete Soner 
Publication date: 27 November 2011
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/28992/
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
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Cited In (39)
- Optimal control of ultradiffusion processes with application to mathematical finance
- Superreplication when trading at market indifference prices
- Duality and convergence for binomial markets with friction
- The self-financing equation in limit order book markets
- Option pricing with linear market impact and nonlinear Black-Scholes equations
- Option replication in discrete time with illiquidity
- A note on convergence of an approximate hedging portfolio with liquidity risk
- Option pricing and hedging with execution costs and market impact
- Resilient price impact of trading and the cost of illiquidity
- Hedge and speculate: replicating option payoffs with limit and market orders
- Option pricing for a large trader with price impact and liquidity costs
- Hedging of covered options with linear market impact and gamma constraint
- An infinite-dimensional model of liquidity in financial markets
- Liquidity risk and the term structure of interest rates
- Optimal investment strategies with a reallocation constraint
- Hedging in an illiquid binomial market
- Asset liquidity and the valuation of derivative securities
- Almost-sure hedging with permanent price impact
- Merton problem in an infinite horizon and a discrete time with frictions
- Superhedging in illiquid markets
- Liquidity in a binomial market
- Hedging, arbitrage and optimality with superlinear frictions
- Signing trades and an evaluation of the Lee-Ready algorithm
- Dual formulation of second order target problems
- Utility maximization in an illiquid market in continuous time
- Utility maximization in an illiquid market
- Liquidity risk, price impacts and the replication problem
- Pricing European options in a discrete time model for the limit order book
- A mathematical theory of financial bubbles
- Large liquidity expansion of super-hedging costs
- Optimal portfolio selection under concave price impact
- Analytical valuation for geometric Asian options in illiquid markets
- Option prices under liquidity risk as weak solutions of semilinear diffusion equations
- Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies
- Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset
- Dynamic trading volume
- Local risk-minimization with multiple assets under illiquidity with applications in energy markets
- Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach
- Hedging with physical or cash settlement under transient multiplicative price impact
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