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A simple microstructural explanation of the concavity of price impact
Nadtochiy, Sergey
- In:
Mathematical Finance
32
(
2021
)
1
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pp. 78-113
Persistent link: https://www.econbiz.de/10012636226
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Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact
Ekren, Ibrahim
;
Nadtochiy, Sergey
- In:
Mathematical Finance
32
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2021
)
1
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pp. 172-225
Persistent link: https://www.econbiz.de/10012636238
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OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
Carmona, René
;
Touzi, Nizar
- In:
Mathematical Finance
18
(
2008
)
2
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pp. 239-268
Persistent link: https://www.econbiz.de/10005023774
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