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Perfect option hedging for a large trader

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References

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1994Derivative Security Markets, Market Manipulation, and Option Pricing Theory179 cited

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1998General Black-Scholes models accounting for increased market volatility from hedging strategies161 cited

Cited by

2006A model of optimal portfolio selection under liquidity risk and price impact130 cited
2010THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING128 cited
2009Option hedging for small investors under liquidity costs128 cited
2016Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?97 cited
2006MODELING LIQUIDITY EFFECTS IN DISCRETE TIME97 cited
2008Numerical solution of linear and nonlinear Black–Scholes option pricing equations93 cited
2002Risk Management for Derivatives in Illiquid Markets: A Simulation Study93 cited
2003High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation78 cited
2004Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation52 cited
2020Predicting the stock price of frontier markets using machine learning and modified Black–Scholes Option pricing model51 cited
2011Liquidity risk, price impacts and the replication problem48 cited
2011Analytical and Numerical Methods for Pricing Financial Derivatives46 cited
2009Numerical Methods for Non-Linear Black–Scholes Equations43 cited
2018Option pricing with linear market impact and nonlinear Black–Scholes equations42 cited
2017Optimal liquidation under stochastic liquidity37 cited
2011Liquidity Models in Continuous and Discrete Time37 cited