Pricing and Hedging Contingent Claims with Liquidity Costs and Market Impact
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Publisher
Elsevier BV
Reference17 articles.
1. Non quadratic local risk-minimization for hedging contingent claims in incomplete markets;F Abergel;SIAM Journal on Financial Mathematics,2011
2. Liquidity risk and arbitrage pricing theory;U Cetin;Finance and Stochastics,2004
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4. Perfect option hedging for a large trader
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. Price impact on term structure;Quantitative Finance;2021-12-07
2. Almost-sure hedging with permanent price impact;Finance and Stochastics;2016-03-15
3. Local Risk Minimization on Supply Curve Model with Market Impacts;SSRN Electronic Journal;2014
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