Option Hedging with Smooth Market Impact

By Robert Almgren, T. Li. 2016

56 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/081ae1e7352df0e6ee589cbb2aeed7007a74e4be

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Huyen Pham
2. Gordon Ritter
3. Petter N. Kolm
4. Thaleia Zariphopoulou
5. P. J. Graber
6. Yasushi Ishikawa
7. Peter A. Forsyth
8. Marek Musiela

Citations in the corpus

• Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications (2016, background): “, [34], [3], [6], and is also related to the problem of optimal VWAP execution (see [23], [20]), or benchmark tracking, see [13].”
• Dynamic Replication and Hedging: A Reinforcement Learning Approach (2019, background): “More recently, several studies have considered option pricing and hedging subject to both permanent and temporary market impact in the spirit of Almgren and Chriss (1999), including Rogers and Singh (2010); Almgren and Li (2016); Bank, Soner, and Vob (2017); and Saito and Takahashi (2017).”