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Scaling limits for super-replication with transient price impact
Peter Bank,
Yan Dolinsky
Department of Statistics
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peer-review
4
Scopus citations
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Dive into the research topics of 'Scaling limits for super-replication with transient price impact'. Together they form a unique fingerprint.
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Keyphrases
Scaling Limit
100%
Super-replication
100%
Transient Price Impact
100%
Resilience
20%
Binomial Model
20%
Limit Theorems
20%
Replication Cost
20%
Vanilla Options
20%
Path-dependent Options
20%
Market Depth
20%
PDE Method
20%
Fixed Period
20%
Depth Parameter
20%
Temporary Price Impact
20%
Limit Calculation
20%
Stochastic Scaling
20%
Inverse Proportion
20%
Mathematics
Scaling Limit
100%
Coincides
20%
Binomial Model
20%
Limit Theorem
20%
Constant Parameter
20%
Partial Differential Equation
20%
Rubinstein
20%
Periodic Time
20%
Inverse Proportion
20%