OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT
نویسندگان
چکیده
منابع مشابه
Option Hedging with Smooth Market Impact
We consider a large investor hedging a long or short options position, whose trades generate adverse market impact. Unlike the complete-market or proportional transaction cases, the agent no longer finds it tenable to be perfectly hedged or even within a fixed distance of being hedged. Instead, he may find himself arbitrarily mishedged and optimally trades towards the classical Black-Scholes de...
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2015
ISSN: 0960-1627
DOI: 10.1111/mafi.12102