PRICING FOR LARGE POSITIONS IN CONTINGENT CLAIMS-Reference-Cited by-同舟云学术

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PRICING FOR LARGE POSITIONS IN CONTINGENT CLAIMS

Published:2015-09-29 Issue:3 Volume:27 Page:746-778
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Robertson Scott¹

Affiliation:

1. Carnegie Mellon University

Funder

National Science Foundation

Publisher

Wiley

Subject

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

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12107

Reference46 articles.

1. ON AGENT’S AGREEMENT AND PARTIAL-EQUILIBRIUM PRICING IN INCOMPLETE MARKETS

2. A model for a large investor trading at market indifference prices. I: Single-period case

3. The stochastic field of aggregate utilities and its saddle conjugate

4. Rational hedging and valuation of integrated risks under constant absolute risk aversion

5. INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES

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2. Research on Financial Budget Management System Based on Particle Swarm Optimization;2022 2nd International Conference on Networking, Communications and Information Technology (NetCIT);2022-12

3. Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire;Stochastic Processes and their Applications;2020-07

4. Optimal investment, derivative demand, and arbitrage under price impact;Mathematical Finance;2020-06-22

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