THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING

140 citations recorded by the source corpus.

How researchers see this paper

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

Option Hedging with Smooth Market Impact (2016, background): “Rogers and Singh [2010] obtain a similar solution for option hedging, with temporary impact but no permanent impact, in which the coefficient h depends on time to expiration. In our model, and that of Rogers and Singh [2010], the target portfolio is effectively the Black-Scholes delta Δt, at least f”
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).”
Optimal Basket Liquidation for CARA Investors is Deterministic (2010, unknown): “[23, 13, 27].”
OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT (2013, unknown): “Li and Almgren, motivated by the swings observed in US stock prices in July 2012, consider a model with both permanent and temporary impacts, whereas Rogers and Singh (2010) do not examine permanent market impact.”
PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME (2012, unknown): “Furthermore, linear price impact models have become the basis of several theoretical studies, for example, Almgren and Lorenz (2007), Carlin et al. (2007), Schöneborn and Schied (2013), and Rogers and Singh (2010).”