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q-fin.PR2010
Pricing in an equilibrium based model for a large investor
David German
We study a financial model with a non-trivial price impact effect. In this model we consider the interaction of a large investor trading in an illiquid security, and a market maker…
q-fin.PR2009★ 1 cited
Hedging in an equilibrium-based model for a large investor
David German
We study a financial model with a non-trivial price impact effect. In this model we consider the interaction of a large investor trading in an illiquid security, and a market maker…