Hedging with physical or cash settlement under transient multiplicative price impact
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DOI: 10.1007/s00780-024-00531-7
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More about this item
Keywords
Transient price impact; Multiplicative impact; Hedging; Option settlement; Resilience; Viscosity solution; Geometric dynamical programming; Effective coordinates;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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