Option hedging for small investors under liquidity costs
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Cites work
- scientific article; zbMATH DE number 3824028 (Why is no real title available?)
- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- A CERTAIN PROPERTY OF SOLUTIONS OF PARABOLIC EQUATIONS WITH MEASURABLE COEFFICIENTS
- Dynamic programming for stochastic target problems and geometric flows
- European Option Pricing with Transaction Costs
- General Black-Scholes models accounting for increased market volatility from hedging strategies
- HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12
- Hedging and Portfolio Optimization in Financial Markets with a Large Trader
- Hedging options for a large investor and forward-backward SDE's
- Liquidity in a binomial market
- Liquidity risk and arbitrage pricing theory
- MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
- On Feedback Effects from Hedging Derivatives
- Option pricing with transaction costs and a nonlinear Black-Scholes equation
- Perfect option hedging for a large trader
- Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
- Small time path behavior of double stochastic integrals and applications to stochastic control
- Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions
- Super-replication in stochastic volatility models under portfolio constraints
- Superreplication Under Gamma Constraints
- The Feedback Effect of Hedging in Illiquid Markets
- The dynamic programming equation for second order stochastic target problems
- The multi-dimensional super-replication problem under gamma constraints
- User’s guide to viscosity solutions of second order partial differential equations
Cited in
(39)- Dynamic trading volume
- Local risk-minimization with multiple assets under illiquidity with applications in energy markets
- Hedging with physical or cash settlement under transient multiplicative price impact
- Superreplication when trading at market indifference prices
- Duality and convergence for binomial markets with friction
- Optimal control of ultradiffusion processes with application to mathematical finance
- 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
- Resilient price impact of trading and the cost of illiquidity
- A note on convergence of an approximate hedging portfolio with liquidity risk
- Option pricing and hedging with execution costs and market impact
- Hedge and speculate: replicating option payoffs with limit and market orders
- Option pricing for a large trader with price impact and liquidity costs
- Optimal investment strategies with a reallocation constraint
- Liquidity risk and the term structure of interest rates
- An infinite-dimensional model of liquidity in financial markets
- Hedging of covered options with linear market impact and gamma constraint
- Asset liquidity and the valuation of derivative securities
- Hedging in an illiquid binomial market
- 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
- Liquidity risk, price impacts and the replication problem
- Pricing European options in a discrete time model for the limit order book
- Utility maximization in an illiquid market
- 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
- Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies
- Option prices under liquidity risk as weak solutions of semilinear diffusion equations
- Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset
- Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach
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