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Option pricing for a large trader with price impact and liquidity costs
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Option pricing for a large trader with price impact and liquidity costs (2017)Option pricing for a large trader with pr…THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING (2010)THE COST OF ILLIQUIDITY AND I…Liquidity Risk and Arbitrage Pricing Theory (2010)Liquidity Risk and Arbitrage …Option hedging for small investors under liquidity costs (2009)Option hedging for small inve…Liquidity risk and arbitrage pricing theory (2004)Liquidity risk and arbitrage …Dynamic trading policies with price impact (2004)Dynamic trading policies with…Optimal execution with nonlinear impact functions and trading-enhanced risk (2003)Optimal execution with nonlin…Hedging and Portfolio Optimization in Financial Markets with a Large Trader (2003)Hedging and Portfolio Optimiz…VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION (2002)VALUATION OF CLAIMS ON NONTRA…Optimal Portfolio Choice and the Valuation of Illiquid Securities (2001)Optimal Portfolio Choice and …Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…Perfect option hedging for a large trader (1998)Perfect option hedging for a …On Feedback Effects from Hedging Derivatives (1998)On Feedback Effects from Hedg…Market Volatility and Feedback Effects from Dynamic Hedging (1997)Market Volatility and Feedbac…Derivative Security Markets, Market Manipulation, and Option Pricing Theory (1994)Derivative Security Markets, …European Option Pricing with Transaction Costs (1993)European Option Pricing with …Optimal replication of contingent claims under transaction costs (1989)Optimal replication of contin…Closed‐Form Formulae for Variance and Volatility Swaps Under Stochastic Volatility With Stochastic Liquidity Risks (2024)Closed‐Form Formulae for Vari…The Adjustment of Stock Prices to New Information (1969)Continuous Auctions and Insider Trading (1985)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Does Algorithmic Trading Improve Liquidity? (2011)Optimal trading strategy and supply/demand dynamics (2012)60 Years of portfolio optimization: Practical challenges and current trends (2013)Coherent Measures of Risk (1999)Direct Estimation of Equity Market Impact (2005)Optimal execution strategies in limit order books with general shape functions (2009)Stochastic Flows and Stochastic Differential Equations (1998)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)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence (2006)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)The Pricing of Options and Corporate Liabilities (1973)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)Predatory Trading (2005)Liquidity and Asset Prices (2006)Dynamic Trading with Predictable Returns and Transaction Costs (2009)Option Pricing and Replication with Transactions Costs (1985)Portfolio Selection with Transaction Costs (1990)Optimal Investment and Consumption with Transaction Costs (1994)Option pricing with transaction costs and a nonlinear Black-Scholes equation (1998)Deep hedging (2019)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Brownian Motion and Stochastic Calculus (2007)A critical review of Real Options thinking for valuing investment flexibility in Smart Grids and low carbon energy systems (2015)Real options theory in strategic management (2016)Mean field and n‐agent games for optimal investment under relative performance criteria (2019)General Black-Scholes models accounting for increased market volatility from hedging strategies (1998)The Feedback Effect of Hedging in Illiquid Markets (2000)On the numerical solution of nonlinear Black–Scholes equations (2008)Optimal control of execution costs (1998)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Dynamical Models of Market Impact and Algorithms for Order Execution (2013)
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  • 2004

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Dynamic trading policies with price impact
95 cited

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  • 2024Closed‐Form Formulae for Variance and Volatility Swaps Under Stochastic Volatility With Stochastic Liquidity Risks18 cited