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Persistent link: https://www.econbiz.de/10011588233
We present a highly-intuitive closed-form delta-hedging result for a large investor whose trades generate adverse market impact. Unlike the complete-market or proportional-transaction-cost cases, the agent no longer finds it tenable to be perfectly hedged or even within a fixed distance of being...
Persistent link: https://www.econbiz.de/10013076845