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

2013 ◽  
Author(s):  
Grégoire Loeper
Keyword(s):  
Option Pricing ◽  
Market Impact ◽  
Non Linear

scholarly journals A fully consistent, minimal model for non-linear market impact

2015 ◽  
Vol 15 (7) ◽  
pp. 1109-1121 ◽  
Author(s):  
J. Donier ◽  
J. Bonart ◽  
I. Mastromatteo ◽  
J.-P. Bouchaud
Keyword(s):  
Minimal Model ◽  
Market Impact ◽  
Non Linear

scholarly journals Optimal execution with non-linear transient market impact

2016 ◽  
Vol 17 (1) ◽  
pp. 41-54 ◽  
Author(s):  
Gianbiagio Curato ◽  
Jim Gatheral ◽  
Fabrizio Lillo
Keyword(s):  
Market Impact ◽  
Optimal Execution ◽  
Non Linear

scholarly journals OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT

2015 ◽  
Vol 27 (3) ◽  
pp. 803-831 ◽  
Author(s):  
Olivier Guéant ◽  
Jiang Pu
Keyword(s):  
Option Pricing ◽  
Market Impact ◽  
Execution Costs

The non-linear market impact of large trades: evidence from buy-side order flow

2013 ◽  
Vol 13 (11) ◽  
pp. 1759-1778 ◽  
Author(s):  
Nataliya Bershova ◽  
Dmitry Rakhlin
Keyword(s):  
Order Flow ◽  
Market Impact ◽  
Non Linear

scholarly journals A Fully Consistent, Minimal Model for Non-Linear Market Impact

2014 ◽  
Author(s):  
Jonathan Donier ◽  
Julius Friedrich Bonart ◽  
Iacopo Mastromatteo ◽  
Jean-Philippe Bouchaud
Keyword(s):  
Minimal Model ◽  
Market Impact ◽  
Non Linear
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