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OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT
16 references·4 citing·47 second hop
OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT (2015)OPTION PRICING AND HEDGING WITH EXECUTION…THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING (2010)THE COST OF ILLIQUIDITY AND I…Optimal Basket Liquidation for CARA Investors is Deterministic (2010)Optimal Basket Liquidation fo…No-dynamic-arbitrage and market impact (2010)No-dynamic-arbitrage and mark…Option hedging for small investors under liquidity costs (2009)Option hedging for small inve…Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence (2006)Pricing Options in an Extende…Liquidity risk and arbitrage pricing theory (2004)Liquidity risk and arbitrage …Hedging and Portfolio Optimization in Financial Markets with a Large Trader (2003)Hedging and Portfolio Optimiz…Optimal Portfolio Choice and the Valuation of Illiquid Securities (2001)Optimal Portfolio Choice and …Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…The Feedback Effect of Hedging in Illiquid Markets (2000)The Feedback Effect of Hedgin…A closed-form solution to the problem of super-replication under transaction costs (1999)A closed-form solution to the…Option pricing with transaction costs and a nonlinear Black-Scholes equation (1998)Option pricing with transacti…On Feedback Effects from Hedging Derivatives (1998)On Feedback Effects from Hedg…General Black-Scholes models accounting for increased market volatility from hedging strategies (1998)General Black-Scholes models …HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 (1996)HEDGING AND PORTFOLIO OPTIMIZ…Option Pricing and Replication with Transactions Costs (1985)Option Pricing and Replicatio…Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty (2019)Portfolio choice, portfolio l…Portfolio choice with small temporary and transient price impact (2019)Portfolio choice with small t…Optimal portfolio execution problem with stochastic price impact (2019)Optimal portfolio execution p…ACCELERATED SHARE REPURCHASE: PRICING AND EXECUTION STRATEGY (2015)ACCELERATED SHARE REPURCHASE:…Common stock repurchases (1981)Continuous Auctions and Insider Trading (1985)Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism? (1999)Does Algorithmic Trading Improve Liquidity? (2011)60 Years of portfolio optimization: Practical challenges and current trends (2013)Dynamic Trading with Predictable Returns and Transaction Costs (2013)The Pricing of Options and Corporate Liabilities (1973)Optimal Portfolio Selection with Transaction Costs and Finite Horizons (2002)The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time (2003)Theory of rational option pricing (2005)Brownian Motion and Stochastic Calculus (2007)Liquidity Risk and Arbitrage Pricing Theory (2010)The Pricing of Options on Assets with Stochastic Volatilities (1987)Dynamic Asset Pricing Theory. (1993)Perfect option hedging for a large trader (1998)Option pricing with an illiquid underlying asset market (2005)Physics and financial economics (1776–2014): puzzles, Ising and agent-based models (2014)Portfolio Selection with Transaction Costs (1990)A solution approach to valuation with unhedgeable risks (2001)Controlled Markov Processes and Viscosity Solutions (2005)Deep hedging (2019)Gain, Loss, and Asset Pricing (2000)How Markets Slowly Digest Changes in Supply and Demand (2009)Limit order books (2013)The Price Impact of Order Book Events (2013)Stability analysis of financial contagion due to overlapping portfolios (2014)Active Portfolio Management (2017)Stochastic Integration and Differential Equations (1990)Stochastic Integration and Differential Equations (2005)A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS (2012)Dual formulation of second order target problems (2013)On viscosity solutions of path dependent PDEs (2014)Inferring Trade Direction from Intraday Data (1991)Credit Risk: Modeling, Valuation and Hedging (2004)Liquidity and Credit Default Swap Spreads (2008)Illiquidity Premia in the Equity Options Market (2017)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it? (2003)Control Transfers, Privatization, and Corporate Performance: Efficiency Gains in China's Listed Companies (2008)The divergence of liquidity commonality in the cross-section of stocks☆ (2008)The Valuation of Uncertain Income Streams and the Pricing of Options (1976)European Option Pricing with Transaction Costs (1993)Pricing and hedging derivative securities in markets with uncertain volatilities (1995)Rollover Risk and Credit Risk (2012)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)Dynamical Models of Market Impact and Algorithms for Order Execution (2013)
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References

  • 2001Optimal execution of portfolio transactions1,598 cited
  • 1985Option Pricing and Replication with Transactions Costs915 cited
  • 2010No-dynamic-arbitrage and market impact402 cited
  • 1998Option pricing with transaction costs and a nonlinear Black-Scholes equation357 cited
  • 2001Optimal Portfolio Choice and the Valuation of Illiquid Securities320 cited
  • 1996HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12317 cited
  • 2004Liquidity risk and arbitrage pricing theory285 cited
  • 2003Hedging and Portfolio Optimization in Financial Markets with a Large Trader226 cited
  • 2006Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence182 cited
  • 1998General Black-Scholes models accounting for increased market volatility from hedging strategies161 cited
  • 2000The Feedback Effect of Hedging in Illiquid Markets153 cited
  • 2010Optimal Basket Liquidation for CARA Investors is Deterministic146 cited
  • 2010THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING128 cited
  • 2009Option hedging for small investors under liquidity costs128 cited
  • 1998On Feedback Effects from Hedging Derivatives

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124 cited
  • 1999A closed-form solution to the problem of super-replication under transaction costs123 cited
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    • 2019Portfolio choice with small temporary and transient price impact24 cited
    • 2019Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty23 cited
    • 2019Optimal portfolio execution problem with stochastic price impact23 cited
    • 2015ACCELERATED SHARE REPURCHASE: PRICING AND EXECUTION STRATEGY18 cited