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Pricing and Hedging Contingent Claims with Liquidity Costs and Market Impact

Frédéric Abergel , Gregoire Loeper
International Workshop on Econophysics and Sociophysics - Recent Progress and Future Directions (Econophys), Jan 2017, Jawaharlal Nehru Univ, New Delhi, India
Conference papers hal-02861049v1

Option Pricing and Hedging with Liquidity Costs and Market Impact

Frédéric Abergel , Gregoire Loeper
International Workshop on Econophysics and Sociophysics - Recent Progress and Future Directions (Econophys), Jan 2017, Jawaharlal Nehru Univ, New Delhi, India. ⟨10.1007/978-3-319-47705-3_2⟩
Conference papers hal-02402364v1