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Todor Bilarev

Humboldt University of Berlin - Department of Mathematics

Unter den Linden

Berlin, D-10099

Germany

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1

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Scholarly Papers (1)

1.

Hedging with Transient Price Impact for Non-Covered and Covered Options

Number of pages: 31 Posted: 25 Jul 2018
Dirk Becherer and Todor Bilarev
Humboldt University of Berlin - Faculty of Mathematics and Natural Sciences and Humboldt University of Berlin - Department of Mathematics
Downloads 141 (524,371)

Abstract:

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superreplication, multiplicative price impact, resilience, transient impact, option settlement, non-covered options, covered options, hedging, viscosity solutions, stochastic target problem