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Pricing For Large Positions In Contingent Claims

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  • Scott Robertson

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  • Scott Robertson, 2017. "Pricing For Large Positions In Contingent Claims," Mathematical Finance, Wiley Blackwell, vol. 27(3), pages 746-778, July.
    • Handle: RePEc:bla:mathfi:v:27:y:2017:i:3:p:746-778
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    File URL: http://hdl.handle.net/10.1111/mafi.2017.27.issue-3
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    Cited by:

    1. Michail Anthropelos & Scott Robertson & Konstantinos Spiliopoulos, 2021. "Optimal investment, derivative demand, and arbitrage under price impact," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 3-35, January.
    2. Michail Anthropelos & Constantinos Kardaras & Georgios Vichos, 2020. "Effective risk aversion in thin risk‐sharing markets," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1565-1590, October.
    3. Michail Anthropelos & Scott Robertson & Konstantinos Spiliopoulos, 2018. "Optimal Investment, Demand and Arbitrage under Price Impact," Papers 1804.09151, arXiv.org, revised Dec 2018.
    4. Mostovyi, Oleksii, 2020. "Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire," Stochastic Processes and their Applications, Elsevier, vol. 130(7), pages 4444-4469.

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