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ArticlePerfect option hedging for a large trader

Rüdiger Frey1998

Article1998

Perfect option hedging for a large trader

145 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

1973The Pricing of Options and Corporate Liabilities 2007Brownian Motion and Stochastic Calculus 2005Theory of rational option pricing 1979Option pricing: A simplified approach 1981Martingales and stochastic integrals in the theory of continuous trading 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1994Option pricing: Mathematical models and computation 1990Market Liquidity, Hedging, and Crashes

Cited by

2006A model of optimal portfolio selection under liquidity risk and price impact 2010THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING 2009Option hedging for small investors under liquidity costs 2016Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?2006MODELING LIQUIDITY EFFECTS IN DISCRETE TIME 2002Risk Management for Derivatives in Illiquid Markets: A Simulation Study

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Year1998

Typearticle

Published1998-02-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations145

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s007800050035

openalex_workW2003006180

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2008

Numerical solution of linear and nonlinear Black–Scholes option pricing equations

2003High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation