14 citations · 30 across the 26 of their papers we have counts for
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q-fin.PR2014
Efficient price dynamics in a limit order market: an utility indifference approach
Masaaki Fukasawa
We construct an utility-based dynamic asset pricing model for a limit order market. The price is nonlinear in volume and subject to market impact. We solve an optimal hedging probl…
q-fin.MF2014
Asymptotic replication with modified volatility under small transaction costs
Jiatu Cai, Masaaki Fukasawa
Dynamic hedging of an European option under a general local volatility model with small linear transaction costs is studied. A continuous control version of Leland's strategy that…
math.PR2014
Optimal discretization of hedging strategies with directional views
Jiatu Cai, Masaaki Fukasawa, Mathieu Rosenbaum +1
We consider the hedging error of a derivative due to discrete trading in the presence of a drift in the dynamics of the underlying asset. We suppose that the trader wishes to find…