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math.PR2015
The Scaling Limit of Superreplication Prices with Small Transaction Costs in the Multivariate Case
Peter Bank, Yan Dolinsky, Ari-Pekka Perkkiö
Kusuoka [ Limit Theorem on Option Replication Cost with Transaction Costs, Ann. Appl. Probab. 5, 198--221, (1995).] showed how to obtain non-trivial scaling limits of superreplicat…
q-fin.MF2015
Hedging with Temporary Price Impact
Peter Bank, Mete Soner, Moritz Voß
We consider the problem of hedging a European contingent claim in a Bachelier model with transient price impact as proposed by Almgren and Chriss. Following the approach of Rogers…