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Applications of a New Self-Financing Equation

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  • Rene Carmona
  • Kevin Webster

Abstract

The goal of this note is to illustrate the impact of a self-financing condition recently introduced by the authors. We present the analyses of two specific applications usually considered in more traditional models in financial mathematics. They include hedging European options with limit orders and the optimal behavior of market makers.

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  • Rene Carmona & Kevin Webster, 2019. "Applications of a New Self-Financing Equation," Papers 1905.04137, arXiv.org.
    • Handle: RePEc:arx:papers:1905.04137
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    References listed on IDEAS

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    Cited by:

    1. René Carmona & Claire Zeng, 2022. "Optimal Execution with Identity Optionality," Applied Mathematical Finance, Taylor & Francis Journals, vol. 29(4), pages 261-287, July.

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