scholarly journals Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact

2021 ◽  
Author(s):  
Ibrahim Ekren ◽  
Sergey Nadtochiy
Keyword(s):  
Contingent Claims ◽  
Price Impact

A chaos expansion approach for the pricing of contingent claims

2015 ◽  
Vol 18 (3) ◽  
pp. 27-58 ◽  
Author(s):  
Hideharu Funahashi ◽  
Masaaki Kijima
Keyword(s):  
Contingent Claims ◽  
Chaos Expansion

The Price Impact of Large Hedging Trades

2009 ◽  
Author(s):  
Brian J. Henderson ◽  
Neil D. Pearson
Keyword(s):  
Price Impact

Profitable Price Impact: The Case of Convertible Bond Arbitrage

2019 ◽  
Author(s):  
Milad Nozari ◽  
Michael Pascutti ◽  
Heather Tookes
Keyword(s):  
Price Impact ◽  
Convertible Bond
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