Perfect hedging under endogenous permanent market impacts
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Thai Nguyen & Mitja Stadje, 2020. "Forward BSDEs and backward SPDEs for utility maximization under endogenous pricing," Papers 2005.04312, arXiv.org.
More about this item
KeywordsNonlinear stochastic integral; g $g$ -Expectation; Market impact;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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