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Option pricing and hedging with execution costs and market impact. (2015). Guéant, Olivier ; Pu, Jiang ; Gueant, Olivier.
In: Post-Print.
RePEc:hal:journl:hal-01393124.

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  1. The impact of option hedging on the spot market volatility. (2022). Anderegg, Benjamin ; Ulmann, Florian ; Sornette, Didier.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:124:y:2022:i:c:s0261560622000304.

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  2. Portfolio Choice with Small Temporary and Transient Price Impact. (2020). Muhle-Karbe, Johannes ; Ekren, Ibrahim.
    In: Papers.
    RePEc:arx:papers:1705.00672.

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  3. Perfect hedging under endogenous permanent market impacts. (2017). Stadje, Mitja ; Fukasawa, Masaaki.
    In: Papers.
    RePEc:arx:papers:1702.01385.

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  4. Trading Strategy with Stochastic Volatility in a Limit Order Book Market. (2016). Siu, Tak Kuen ; Ching, Wai-Ki ; Yang, Qing-Qing ; Gu, Jia-Wen.
    In: Papers.
    RePEc:arx:papers:1602.00358.

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  5. Hedging with Temporary Price Impact. (2016). Bank, Peter ; Voss, Moritz ; Soner, Mete.
    In: Papers.
    RePEc:arx:papers:1510.03223.

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References

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