We solve the superhedging problem for European options in a market with finite liquidity where trading has transient impact on prices, and possibly a permanent one in addition. Impact is multiplicative to ensure positive asset prices. Hedges and option prices depend on the physical and cash...

We solve the superhedging problem for European options in an illiquid extension of the Black–Scholes model, in which transactions have transient price impact and the costs and strategies for hedging are affected by physical or cash settlement requirements at maturity. Our analysis is based on...

We consider an investor maximizing his expected utility from terminal wealth with portfolio decisions based on the available information flow. This investor faces the opportunity to acquire some additional initial information G.. The subjective fair value of this information for the investor is...