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Hedging with temporary price impact

Published:2016-10-06 Issue:2 Volume:11 Page:215-239
ISSN:1862-9679
Container-title:Mathematics and Financial Economics
language:en
Short-container-title:Math Finan Econ

Author:

Bank Peter,Soner H. Mete,Voß Moritz

Funder

Einstein Stiftung Berlin

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s11579-016-0178-4.pdf

Reference25 articles.

1. Alfonsi, A., Fruth, A., Schied, A.: Optimal execution strategies in limit order books with general shape functions. Quant. Financ. 10(2), 143–157 (2010). doi: 10.1080/14697680802595700

2. Almgren, R., Chriss, N.: Optimal execution of portfolio transactions. J. Risk 3, 5–39 (2001)

3. Almgren, R., Li, T.M.: Option hedging with smooth market impact. Preprint, June 2015

4. Almgren, R.F.: Optimal execution with nonlinear impact functions and trading-enhanced risk. Appl. Math. Financ. 10(1), 1–18 (2003). doi: 10.1080/135048602100056

5. Black, F., Scholes, M.: The pricing of options and corporate liabilities. J. Polit. Econ. 81, 637–654 (1973)

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