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Pricing and Hedging Contingent Claims with Liquidity Costs and Market Impact

Frédéric Abergel 1 Gregoire Loeper 2 
1 MICS - Mathématiques et Informatique pour la Complexité et les Systèmes
2 Monash University [Clayton]
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Conference papers
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https://hal-centralesupelec.archives-ouvertes.fr/hal-02861049
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Submitted on : Monday, June 8, 2020 - 5:47:15 PM
Last modification on : Sunday, June 26, 2022 - 2:28:25 AM

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  • HAL Id : hal-02861049, version 1

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INSMI | CENTRALESUPELEC | MICS | UNIV-PARIS-SACLAY | GS-ENGINEERING | GS-COMPUTER-SCIENCE

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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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