3 citations · 3 across the 4 of their papers we have counts for
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q-fin.TR2025
Optimal Quoting under Adverse Selection and Price Reading
Alexander Barzykin, Philippe Bergault, Olivier Guéant +1
Over the past decade, many dealers have implemented algorithmic models to automatically respond to RFQs and manage flows originating from electronic platforms. In parallel, buildin…
q-fin.TR2013★ 3 cited
Option pricing and hedging with execution costs and market impact
Olivier Guéant, Jiang Pu
This article considers the pricing and hedging of a call option when liquidity matters, that is, either for a large nominal or for an illiquid underlying asset. In practice, as opp…