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Conference Papers Year : 2017

Pricing and Hedging Contingent Claims with Liquidity Costs and Market Impact

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Frédéric Abergel
Mathématiques et Informatique pour la Complexité et les Systèmes
Gregoire Loeper
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  • PersonId : 1060401
Monash University [Clayton]

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Mathematics [math] Statistics [math.ST]

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https://hal-centralesupelec.archives-ouvertes.fr/hal-02861049

Submitted on : Monday, June 8, 2020-5:47:15 PM

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hal-02861049 , version 1 (08-06-2020)

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Frédéric Abergel, Gregoire Loeper. Pricing and Hedging Contingent Claims with Liquidity Costs and Market Impact. International Workshop on Econophysics and Sociophysics - Recent Progress and Future Directions (Econophys), Jan 2017, Jawaharlal Nehru Univ, New Delhi, India. ⟨hal-02861049⟩

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