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A simple microstructural explanation of the concavity of price impact
Nadtochiy, Sergey - In: Mathematical Finance 32 (2021) 1, pp. 78-113
Persistent link: https://www.econbiz.de/10012636226
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Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact
Ekren, Ibrahim; Nadtochiy, Sergey - In: Mathematical Finance 32 (2021) 1, pp. 172-225
Persistent link: https://www.econbiz.de/10012636238
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Asymptotics for small nonlinear price impact : A PDE approach to the multidimensional case
Bayraktar, Erhan; Cayé, Thomas; Ekren, Ibrahim - In: Mathematical Finance 31 (2020) 1, pp. 36-108
Persistent link: https://www.econbiz.de/10012283210
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Distribution‐constrained optimal stopping
Bayraktar, Erhan; Miller, Christopher W. - In: Mathematical Finance 29 (2018) 1, pp. 368-406
Persistent link: https://www.econbiz.de/10012095143
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Equilibrium concepts for time‐inconsistent stopping problems in continuous time
Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou - In: Mathematical Finance 31 (2020) 1, pp. 508-530
Persistent link: https://www.econbiz.de/10012410102