TRADING WITH SMALL PRICE IMPACT

Mathematical Finance

Volumn 27, Issue 2, 2017, Pages 350-400

  Moreau, Ludovic ^a   Muhle Karbe, Johannes ^b   Soner, H Mete ^b  

^a ETH ZURICH   (Switzerland)

^b SWISS FINANCE INSTITUTE   (Switzerland)

Author keywords

asymptotics; homogenization; portfolio choice; price impact; viscosity solutions

Indexed keywords

EID: 84932118027     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/mafi.12098     Document Type: Article

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