Asymptotics for Small Nonlinear Price Impact: A PDE Homogenization Approach to the Multidimensional Case-Reference-Cited by-同舟云学术

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Asymptotics for Small Nonlinear Price Impact: A PDE Homogenization Approach to the Multidimensional Case

Published:2018 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Bayraktar Erhan,Cayé Thomas,Ekren Ibrahim

Publisher

Elsevier BV

Reference43 articles.

1. Optimal execution with nonlinear impact functions and trading-enhanced risk;R F Almgren;Applied Mathematical Finance,2003

2. Optimal execution of portfolio transactions;R F Almgren;Journal of Risk,2001

3. Direct estimation of equity market impact;R Almgren;Risk,2005

4. Optimal Investment with Transient Price Impact

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Deep learning algorithms for hedging with frictions;Digital Finance;2023-03

2. Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact;Mathematical Finance;2021-07-26

3. Asset Pricing with General Transaction Costs: Theory and Numerics;SSRN Electronic Journal;2019

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