Utility-based pricing and hedging of contingent claims in Almgren-Chriss model with temporary price impact
Year of publication: |
2022
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Authors: | Ekren, Ibrahim ; Nadtochiy, Sergey |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 32.2022, 1, p. 172-225
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Subject: | hedging of contingent claims | HJB equation | price impact | utility-indifference price | Hedging | Optionspreistheorie | Option pricing theory |
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