Imagen de Portada

A Note on Optimal Liquidation with Linear Price Impact

Fuente: arXiv

Guardado en:

Detalles Bibliográficos
Autores principales:	Dolinsky, Yan, Greenstein, Doron
Formato:	Preprint
Publicado:	2024
Materias:	Computational Finance Probability
Acceso en línea:	Acceder al recurso
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

Ejemplares similares

Exponential Hedging for the Ornstein-Uhlenbeck Process in the Presence of Linear Price Impact
por: Dolinsky, Yan
Publicado: (2025)

Pricing Options on Forwards in Function-Valued Affine Stochastic Volatility Models
por: He, Jian, et al.
Publicado: (2025)

A Note on the Conditions for COS Convergence
por: Wang, Qinling, et al.
Publicado: (2025)

Some Computations for Optimal Execution with Monotone Strategies
por: Dolinsky, Yan
Publicado: (2024)

Pricing of barrier options by marginal functional quantization
por: Sagna, Abass
Publicado: (2010)

Dimension Reduction in Martingale Optimal Transport: Geometry and Robust Option Pricing
por: Hiew, Joshua Zoen-Git, et al.
Publicado: (2023)

A discretization scheme for path-dependent FBSDEs and PDEs
por: Jang, Jiuk, et al.
Publicado: (2023)

Stochastic Calculus for Option Pricing with Convex Duality, Logistic Model, and Numerical Examination
por: Cao, Zheng
Publicado: (2024)

Conditional Non-Lattice Integration, Pricing and Superhedging
por: Bender, Christian, et al.
Publicado: (2021)

A System of BSDEs with Singular Terminal Values Arising in Optimal Liquidation with Regime Switching
por: Fu, Guanxing, et al.
Publicado: (2024)

Efficient Importance Sampling under Heston Model: Short Maturity and Deep Out-of-the-Money Options
por: Tu, Yun-Feng, et al.
Publicado: (2025)

Pricing American Options Time-Capped by a Drawdown Event
por: Palmowski, Zbigniew, et al.
Publicado: (2025)

Dual Attainment in Multi-Period Multi-Asset Martingale Optimal Transport and Its Computation
por: Che, Charlie, et al.
Publicado: (2026)

Dynamic Asset Pricing Theory for Life Contingent Risks
por: Ling, Patrick
Publicado: (2025)

Prediction of Cryptocurrency Prices through a Path Dependent Monte Carlo Simulation
por: Singh, Ayush, et al.
Publicado: (2024)

Pricing American options time-capped by a drawdown event in a Lévy market
por: Palmowski, Zbigniew, et al.
Publicado: (2025)

Markov Chain Approximation of One-Dimensional Sticky Diffusions
por: Meier, Christian, et al.
Publicado: (2019)

The Fourier estimator of spot volatility: Unbounded coefficients and jumps in the price process
por: González, L. J. Espinosa, et al.
Publicado: (2026)

An optimal transport approach for the multiple quantile hedging problem
por: Bénézet, Cyril, et al.
Publicado: (2023)

The Laplace transform of the integrated Volterra Wishart process
por: Jaber, Eduardo Abi
Publicado: (2019)

Exploring Drivers of Extreme Housing Prices in Australia
por: Burtenshaw, Grace, et al.
Publicado: (2026)

Trend-encoded Probabilistic Multi-order Model: A Non-Machine Learning Approach for Enhanced Stock Market Forecasts
por: Wang, Peiwan, et al.
Publicado: (2025)

The Gradient Flow of the Bass Functional in Martingale Optimal Transport
por: Backhoff-Veraguas, Julio, et al.
Publicado: (2024)

Chaotic Hedging with Iterated Integrals and Neural Networks
por: Neufeld, Ariel, et al.
Publicado: (2022)

Linear reflected backward stochastic differential equations arising from vulnerable claims in markets with random horizon
por: Choulli, T., et al.
Publicado: (2024)

Computation of Robust Option Prices via Structured Multi-Marginal Martingale Optimal Transport
por: Engström, Linn, et al.
Publicado: (2024)

Exponential Utility Maximization with Delay in a Continuous Time Gaussian Framework
por: Dolinsky, Yan
Publicado: (2023)

Direct Inversion for the Squared Bessel Process and Applications
por: Malham, Simon J. A., et al.
Publicado: (2024)

Risk-indifference Pricing of American-style Contingent Claims
por: Kumar, Rohini, et al.
Publicado: (2024)

American option pricing using generalised stochastic hybrid systems
por: Buckwar, Evelyn, et al.
Publicado: (2024)

Convergence of the Markovian iteration for coupled FBSDEs via a differentiation approach
por: Huang, Zhipeng, et al.
Publicado: (2025)

On Drift Induced by Local Transition Asymmetry in Combinatorial State Spaces
por: Ishizaki, Fumio
Publicado: (2026)

Extrema, Barrier Options, and Semi-Analytic Leverage Corrections in Stochastic-Clock Volatility Models
por: Guillaume, Tristan
Publicado: (2026)

Handling model risk with XVAs
por: Bénézet, Cyril, et al.
Publicado: (2022)

Neural variance reduction for stochastic differential equations
por: Hinds, P. D., et al.
Publicado: (2022)

Stochastic Policy Gradient Methods in the Uncertain Volatility Model
por: Abbas-Turki, Lokman A, et al.
Publicado: (2026)

Asymptotic universal moment matching properties of normal distributions
por: Liu, Xuan
Publicado: (2025)

The Recalibration Conundrum: Hedging Valuation Adjustment for Callable Claims
por: Bénézet, Cyril, et al.
Publicado: (2023)

Scaling Limits for Exponential Hedging in Trinomial Models
por: Dolinsky, Yan, et al.
Publicado: (2026)

A weak MLMC scheme for Lévy-copula-driven SDEs with applications to the pricing of credit, equity and interest rate derivatives
por: Mijatović, Aleksandar, et al.
Publicado: (2022)