Hedge and speculate: replicating option payoffs with limit and market orders
We consider an agent who takes a short position in a contingent claim and employs limit orders (LOs) and market orders (MOs) to trade in the underlying asset to maximize expected utility of terminal wealth. The agent solves a combined optimal stopping and control problem where trading has frictions:...
| 主要な著者: | , , |
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| フォーマット: | Journal article |
| 言語: | English |
| 出版事項: |
Society for Industrial and Applied Mathematics
2019
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