Optimal investment, derivative demand, and arbitrage under price impact
Author:
Affiliation:
1. Department of Banking and Financial Management University of Piraeus Piraeus Greece
2. Questrom School of Business Boston University Boston Massachusetts
3. Department of Mathematics & Statistics Boston University Boston Massachusetts
Funder
Division of Mathematical Sciences
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12282
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3. How Brokers Facilitate Trade for Long-Term Clients in Competitive Securities Markets
4. Anthropelos M. Bank P. &Gokay S.(2018).Equilibrium transactions with large investors and indifferent market makers. Working paper.
5. The pricing of contingent claims and optimal positions in asymptotically complete markets
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