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

Repeated Career Options: A Contingent Claims Approach

2007 ◽  
Author(s):  
Jonathan Treussard
Keyword(s):  
Contingent Claims ◽  
Career Options

The Aggregate Price Impact of the Disposition Effect

2008 ◽  
Author(s):  
Hyuk Choe ◽  
Yunsung Eom
Keyword(s):  
Price Impact ◽  
Disposition Effect

The Pricing of Interest Rate Contingent Claims

1998 ◽  
Author(s):  
Claus Anderskov Madsen
Keyword(s):  
Interest Rate ◽  
Contingent Claims

The Price Impact of Large Hedging Trades

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

Arbitrage-Free Price-Update and Price-Impact Functions

2000 ◽  
Author(s):  
Werner Stanzl ◽  
Gur Huberman
Keyword(s):  
Price Impact

Asymptotic Synthesis of Contingent Claims in a Sequence of Discrete-Time Markets

2019 ◽  
Author(s):  
David M. Kreps ◽  
W. Schachermayer
Keyword(s):  
Discrete Time ◽  
Contingent Claims

Blocktrades in OTC Options Markets: Price Impact and Liquidity Effects

2019 ◽  
Author(s):  
Ruediger Kiesel ◽  
Alessio Pietrobono
Keyword(s):  
Price Impact ◽  
Options Markets

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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