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Optimal Execution Strategy in the Presence of Price Impact
Price impact impulse control singular control
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2010/10/21
We study a single risky financial asset model subject to price impact and transaction cost over an infinite horizon. An investor needs to execute a long position in the asset affecting the price of th...
Hedging Errors Induced by Discrete Trading Under an Adaptive Trading Strategy
Hedging Errors Adaptive Trading Strategy Discrete Trading
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2010/4/28
Discrete time hedging in a complete diffusion market is considered. The hedge portfolio is rebalanced when the absolute difference between delta of the hedge portfolio and the derivative contract reac...