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q-fin.MF2026
When Hedging Changes the Payoff: Option Replication with Price Impact and Execution Costs
David Itkin, Leandro Sánchez-Betancourt
Hedging a derivative by trading the underlying asset changes the payoff that the hedging intended to replicate. We study this phenomenon when trading generates price impact and exe…
math.PR2026
Folding representations of reflected diffusions
David Itkin, Ioannis Karatzas
Diffusion processes with reflection, possibly oblique, on the boundary of a given sufficiently regular closed convex domain in Euclidean space, are constructed in a novel way via i…