OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT

Mathematical Finance ◽

10.1111/mafi.12102 ◽

2015 ◽

Vol 27 (3) ◽

pp. 803-831 ◽

Cited By ~ 20

Author(s):

Olivier Guéant ◽

Jiang Pu

Keyword(s):

Option Pricing ◽

Market Impact ◽

Execution Costs

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Option pricing and hedging with execution costs and market impact

The Financial Mathematics of Market Liquidity ◽

10.1201/b21350-18 ◽

2016 ◽

pp. 193-218

Keyword(s):

Option Pricing ◽

Market Impact ◽

Execution Costs

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Option Pricing and Hedging with Liquidity Costs and Market Impact

Econophysics and Sociophysics: Recent Progress and Future Directions - New Economic Windows ◽

10.1007/978-3-319-47705-3_2 ◽

2017 ◽

pp. 19-40 ◽

Cited By ~ 1

Author(s):

F. Abergel ◽

G. Loeper

Keyword(s):

Option Pricing ◽

Market Impact ◽

Liquidity Costs

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Option pricing with linear market impact and nonlinear Black–Scholes equations

The Annals of Applied Probability ◽

10.1214/17-aap1367 ◽

2018 ◽

Vol 28 (5) ◽

pp. 2664-2726 ◽

Cited By ~ 1

Author(s):

Gregoire Loeper

Keyword(s):

Option Pricing ◽

Market Impact ◽

Black Scholes

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Option Pricing with Linear Market Impact and Non-Linear Black-Scholes Equations

SSRN Electronic Journal ◽

10.2139/ssrn.2777932 ◽

2016 ◽

Cited By ~ 1

Author(s):

Grrgoire Loeper

Keyword(s):

Option Pricing ◽

Market Impact ◽

Black Scholes ◽

Non Linear

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Option Pricing with Market Impact and Non-Linear Black and Scholes PDEs

SSRN Electronic Journal ◽

10.2139/ssrn.2240199 ◽

2013 ◽

Cited By ~ 3

Author(s):

Grégoire Loeper

Keyword(s):

Option Pricing ◽

Market Impact ◽

Non Linear

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IFRS Convergence and Stock Market Impact: Evidence from the 2007 China Reform

Journal of Accounting and Finance ◽

10.33423/jaf.v19i19.2694 ◽

2019 ◽

Vol 19 (9) ◽

Keyword(s):

Stock Market ◽

Market Impact

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Valuation of Default Risks in Percentage Leases in Option Pricing Framework

10.15396/eres2003_157 ◽

2003 ◽

Keyword(s):

Option Pricing ◽

Default Risks ◽

Pricing Framework

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A new stochastic gradient estimator for American option pricing

2009 European Control Conference (ECC) ◽

10.23919/ecc.2009.7074567 ◽

2009 ◽

Cited By ~ 1

Author(s):

Yongqiang Wang ◽

Michael C. Fu ◽

Steven I. Marcus

Keyword(s):

Option Pricing ◽

American Option ◽

Stochastic Gradient ◽

American Option Pricing

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Execution Costs: The Plan Sponsor’s View

ICFA Continuing Education Series ◽

10.2469/cp.v1988.n3.8 ◽

1988 ◽

Vol 1988 (3) ◽

pp. 31-35

Author(s):

Greta E. Marshall

Keyword(s):

Execution Costs

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On empirical likelihood option pricing

The Journal of Risk ◽

10.21314/jor.2017.357 ◽

2017 ◽

Vol 19 (5) ◽

pp. 41-53

Author(s):

Xiaolong Zhong ◽

Jie Cao ◽

Yong Jin ◽

Wei Zheng

Keyword(s):

Option Pricing ◽

Empirical Likelihood

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