Generalized stochastic target problems for pricing and partial hedging under loss constraints—application in optimal book liquidation
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References listed on IDEAS
- Sophie Laruelle & Charles-Albert Lehalle & Gilles Pag`es, 2009.
"Optimal split of orders across liquidity pools: a stochastic algorithm approach,"
0910.1166, arXiv.org, revised May 2010.
- Sophie Laruelle & Charles-Albert Lehalle & Gilles Pagès, 2010. "Optimal split of orders across liquidity pools: a stochastic algorithm approach," Working Papers hal-00422427, HAL.
- Y.M. Kabanov, 1999. "Hedging and liquidation under transaction costs in currency markets," Finance and Stochastics, Springer, vol. 3(2), pages 237-248.
- Hans FÃllmer & Peter Leukert, 2000. "Efficient hedging: Cost versus shortfall risk," Finance and Stochastics, Springer, vol. 4(2), pages 117-146.
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More about this item
KeywordsStochastic target problems; State constraints; Pricing under risk constraint; Book liquidation; 49L25; 60J60; 91G80; G11; G13; C61;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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