4 papers
Hedging with physical or cash settlement under transient multiplicative price impact
Dirk Becherer, Todor Bilarev
We solve the superhedging problem for European options in an illiquid extension of the Black-Scholes model, in which transactions have transient price impact and the costs and the…
Approximating diffusion reflections at elastic boundaries
Dirk Becherer, Todor Bilarev, Peter Frentrup
We show a probabilistic functional limit result for one-dimensional diffusion processes that are reflected at an elastic boundary which is a function of the reflection local time.…
Stability for gains from large investors' strategies in M1/J1 topologies
Dirk Becherer, Todor Bilarev, Peter Frentrup
We prove continuity of a controlled SDE solution in Skorokhod's and topologies and also uniformly, in probability, as a non-linear functional of the control strategy. T…
Optimal Liquidation under Stochastic Liquidity
Dirk Becherer, Todor Bilarev, Peter Frentrup
We solve explicitly a two-dimensional singular control problem of finite fuel type for infinite time horizon. The problem stems from the optimal liquidation of an asset position in…