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OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT

  • Published:2015-09-25 Issue:3 Volume:27 Page:803-831
  • ISSN:0960-1627
  • Container-title:Mathematical Finance
  • language:en
  • Short-container-title:Mathematical Finance

Author:

Guéant Olivier1,Pu Jiang2

Affiliation:

1. Université Paris-Diderot

2. Institut Europlace de Finance

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Cited by 30 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. Explicit formulae for the valuation of European options with price impacts;The Journal of Finance and Data Science;2024-12

2. Linearly Autonomous Symmetries of a Fractional Guéant–Pu Model;Mathematical Notes;2023-12

3. Construction of Financial Crisis Early Warning Model of State-Owned Enterprises Based on Sparse Clustering Algorithm;2023 Second International Conference On Smart Technologies For Smart Nation (SmartTechCon);2023-08-18

4. Construction of Financial Crisis Early Warning Model of State-Owned Enterprises Based on Sparse Clustering Algorithm;2023 Second International Conference On Smart Technologies For Smart Nation (SmartTechCon);2023-08-18

5. A discrete-time optimal execution problem with market prices subject to random environments;TOP;2023-01-29
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