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Perfect option hedging for a large trader

Citations

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Cited by:

  1. Ku, Hyejin & Lee, Kiseop & Zhu, Huaiping, 2012. "Discrete time hedging with liquidity risk," Finance Research Letters, Elsevier, vol. 9(3), pages 135-143.
  2. Vathana Ly Vath & Mohamed Mnif & Huyên Pham, 2007. "A model of optimal portfolio selection under liquidity risk and price impact," Finance and Stochastics, Springer, vol. 11(1), pages 51-90, January.
  3. Simona Sanfelici, 2007. "Calibration of a nonlinear feedback option pricing model," Quantitative Finance, Taylor & Francis Journals, vol. 7(1), pages 95-110.
  4. Maria do Rosário Grossinho & Yaser Faghan Kord & Daniel Sevcovic, 2017. "Pricing Perpetual Put Options by the Black-Scholes Equation with a Nonlinear Volatility Function," Working Papers REM 2017/19, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  5. David German & Henry Schellhorn, 2012. "A No-Arbitrage Model of Liquidity in Financial Markets involving Brownian Sheets," Papers 1206.4804, arXiv.org.
  6. U. Çetin & R. Jarrow & P. Protter & M. Warachka, 2008. "Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 9, pages 185-221, World Scientific Publishing Co. Pte. Ltd..
  7. B Bouchard & G Loeper & Y Zou, 2015. "Hedging of covered options with linear market impact and gamma constraint," Working Papers hal-01247523, HAL.
  8. Pierdzioch, Christian, 2000. "Noise Traders? Trigger Rates, FX Options, and Smiles," Kiel Working Papers 970, Kiel Institute for the World Economy (IfW Kiel).
  9. Bruno Bouchard & Xiaolu Tan, 2019. "Understanding the dual formulation for the hedging of path-dependent options with price impact," Working Papers hal-02398881, HAL.
  10. Bertram Düring & Michel Fournié & Ansgar Jüngel, 2003. "High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(07), pages 767-789.
  11. Peter Bank & Dietmar Baum, 2004. "Hedging and Portfolio Optimization in Financial Markets with a Large Trader," Mathematical Finance, Wiley Blackwell, vol. 14(1), pages 1-18, January.
  12. Robert A. Jarrow, 2015. "Asset Price Bubbles," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 201-218, December.
  13. Maria do Rosário Grossinho & Yaser Faghan Kord & Daniel Sevcovic, 2017. "Pricing American Call Option by the Black-Scholes Equation with a Nonlinear Volatility Function," Working Papers REM 2017/18, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  14. Daniel Sevcovic & Cyril Izuchukwu Udeani, 2021. "Multidimensional linear and nonlinear partial integro-differential equation in Bessel potential spaces with applications in option pricing," Papers 2106.10498, arXiv.org.
  15. Sang-Hyeon Park & Kiseop Lee, 2020. "Hedging with Liquidity Risk under CEV Diffusion," Risks, MDPI, vol. 8(2), pages 1-12, June.
  16. Bruno Bouchard & G Loeper & Y Zou, 2016. "Almost-sure hedging with permanent price impact," Post-Print hal-01133223, HAL.
  17. Jose Cruz & Daniel Sevcovic, 2019. "Option Pricing in Illiquid Markets with Jumps," Papers 1901.06467, arXiv.org.
  18. Dirk Becherer & Todor Bilarev & Peter Frentrup, 2018. "Optimal liquidation under stochastic liquidity," Finance and Stochastics, Springer, vol. 22(1), pages 39-68, January.
  19. Sergey Lototsky & Henry Schellhorn & Ran Zhao, 2016. "A String Model of Liquidity in Financial Markets," Papers 1608.05900, arXiv.org, revised Apr 2018.
  20. Bruno Bouchard & Xiaolu Tan, 2022. "Understanding the dual formulation for the hedging of path-dependent options with price impact," Post-Print hal-02398881, HAL.
  21. Alain François-Heude & Ouidad Yous, 2014. "On the liquidity of CAC 40 index options Market," Working Papers 2014-445, Department of Research, Ipag Business School.
  22. Alexandre Roch, 2011. "Liquidity risk, price impacts and the replication problem," Finance and Stochastics, Springer, vol. 15(3), pages 399-419, September.
  23. Mauricio Junca, 2011. "Stochastic impulse control on optimal execution with price impact and transaction cost," Papers 1103.3482, arXiv.org, revised Jan 2013.
  24. Masaaki Fukasawa & Mitja Stadje, 2017. "Perfect hedging under endogenous permanent market impacts," Papers 1702.01385, arXiv.org.
  25. François-Heude, Alain & Yousfi, Ouidad, 2013. "On the liquidity of CAC 40 index options Market," MPRA Paper 47921, University Library of Munich, Germany, revised 01 Jul 2013.
  26. Jose Cruz & Maria Grossinho & Daniel Sevcovic & Cyril Izuchukwu Udeani, 2022. "Linear and Nonlinear Partial Integro-Differential Equations arising from Finance," Papers 2207.11568, arXiv.org.
  27. B Bouchard & G Loeper & Y Zou, 2015. "Almost-sure hedging with permanent price impact," Working Papers hal-01133223, HAL.
  28. B. Bouchard & G. Loeper & Y. Zou, 2015. "Almost-sure hedging with permanent price impact," Papers 1503.05475, arXiv.org.
  29. Umut Çetin & L. C. G. Rogers, 2007. "Modeling Liquidity Effects In Discrete Time," Mathematical Finance, Wiley Blackwell, vol. 17(1), pages 15-29, January.
  30. Mattias Jonsson & Jussi Keppo, 2002. "Option pricing for large agents," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(4), pages 261-272.
  31. Fournié, Michel & Düring, Bertram & Jüngel, Ansgar, 2004. "Convergence of a high-order compact finite difference scheme for a nonlinear Black-Scholes equation," CoFE Discussion Papers 04/02, University of Konstanz, Center of Finance and Econometrics (CoFE).
  32. Jarrow, Robert & Protter, Philip, 2005. "Large traders, hidden arbitrage, and complete markets," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2803-2820, November.
  33. Karol Duris & Shih-Hau Tan & Choi-Hong Lai & Daniel Sevcovic, 2015. "Comparison of the analytical approximation formula and Newton's method for solving a class of nonlinear Black-Scholes parabolic equations," Papers 1511.05661, arXiv.org, revised Nov 2015.
  34. B Bouchard & G Loeper & Y Zou, 2015. "Hedging of covered options with linear market impact and gamma constraint," Papers 1512.07087, arXiv.org.
  35. Bruno Bouchard & Xiaolu Tan, 2019. "Understanding the dual formulation for the hedging of path-dependent options with price impact," Papers 1912.03946, arXiv.org, revised Jan 2020.
  36. David German, 2010. "Pricing in an equilibrium based model for a large investor," Papers 1007.3316, arXiv.org.
  37. Jungmin Choi & Mattias Jonsson, 2009. "Partial Hedging in Financial Markets with a Large Agent," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(4), pages 331-346.
  38. Ahmet Umur Ozsoy & Omur Uu{g}ur, 2023. "The QLBS Model within the presence of feedback loops through the impacts of a large trader," Papers 2311.06790, arXiv.org.
  39. Maria do Rosario Grossinho & Yaser Kord Faghan & Daniel Sevcovic, 2016. "Pricing Perpetual Put Options by the Black-Scholes Equation with a Nonlinear Volatility Function," Papers 1611.00885, arXiv.org, revised Nov 2017.
  40. Jinqiang Yang & Zhaojun Yang, 2012. "Arbitrage-free interval and dynamic hedging in an illiquid market," Quantitative Finance, Taylor & Francis Journals, vol. 13(7), pages 1029-1039, May.
  41. Salvatore Federico & Paul Gassiat, 2014. "Viscosity Characterization of the Value Function of an Investment-Consumption Problem in Presence of an Illiquid Asset," Journal of Optimization Theory and Applications, Springer, vol. 160(3), pages 966-991, March.
  42. Gill, Ryan & Lee, Kiseop & Song, Seongjoo, 2007. "Computation of estimates in segmented regression and a liquidity effect model," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6459-6475, August.
  43. Soner, H. Mete & Cetin, Umut & Touzi, Nizar, 2010. "Option hedging for small investors under liquidity costs," LSE Research Online Documents on Economics 28992, London School of Economics and Political Science, LSE Library.
  44. Daniel Ševčovič & Cyril Izuchukwu Udeani, 2021. "Multidimensional Linear and Nonlinear Partial Integro-Differential Equation in Bessel Potential Spaces with Applications in Option Pricing," Mathematics, MDPI, vol. 9(13), pages 1-12, June.
  45. Bruno Bouchard & G. Loeper & Y. Zou, 2017. "Hedging of covered options with linear market impact and gamma constraint," Post-Print hal-01611790, HAL.
  46. Rossella Agliardi & Ramazan Gençay, 2012. "Hedging through a Limit Order Book with Varying Liquidity," Working Paper series 12_12, Rimini Centre for Economic Analysis.
  47. Bruno Bouchard & G Loeper & Y Zou, 2017. "Hedging of covered options with linear market impact and gamma constraint," Post-Print hal-01247523, HAL.
  48. Maria do Rosario Grossinho & Yaser Faghan Kord & Daniel Sevcovic, 2017. "Analytical and numerical results for American style of perpetual put options through transformation into nonlinear stationary Black-Scholes equations," Papers 1707.00356, arXiv.org.
  49. Masaaki Fukasawa & Mitja Stadje, 2018. "Perfect hedging under endogenous permanent market impacts," Finance and Stochastics, Springer, vol. 22(2), pages 417-442, April.
  50. Umut Çetin & H. Soner & Nizar Touzi, 2010. "Option hedging for small investors under liquidity costs," Finance and Stochastics, Springer, vol. 14(3), pages 317-341, September.
  51. Marc Jeannin & Giulia Iori & David Samuel, 2008. "Modeling stock pinning," Quantitative Finance, Taylor & Francis Journals, vol. 8(8), pages 823-831.
  52. Dirk Becherer & Todor Bilarev, 2018. "Hedging with physical or cash settlement under transient multiplicative price impact," Papers 1807.05917, arXiv.org, revised Jun 2023.
  53. Bank, Peter & Baum, Dietmar, 2002. "Hedging and portfolio optimization in illiquid financial markets," SFB 373 Discussion Papers 2002,53, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  54. Maria do Rosário Grossinho & Yaser Kord Faghan & Daniel Ševčovič, 2017. "Pricing Perpetual Put Options by the Black–Scholes Equation with a Nonlinear Volatility Function," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(4), pages 291-308, December.
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