We consider an investor maximizing his expected utility from terminal wealth with portfolio decisions based on the available information flow. This investor faces the opportunity to acquire some additional initial information G.. The subjective fair value of this information for the investor is...

We solve the superhedging problem for European options in an illiquid extension of the Black–Scholes model, in which transactions have transient price impact and the costs and strategies for hedging are affected by physical or cash settlement requirements at maturity. Our analysis is based on...