Utility-based pricing and hedging of contingent claims in Almgren-Chriss model with temporary price impact
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- Moritz Vo{ss}, 2019. "A two-player portfolio tracking game," Papers 1911.05122, arXiv.org, revised Jul 2022.
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This paper has been announced in the following NEP Reports:- NEP-UPT-2019-10-14 (Utility Models and Prospect Theory)
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