Ekren, Ibrahim - Utility‐based pricing and hedging of contingent claims in ...

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Received: 3 October 2019  Accepted: 7 July 2021
DOI: 10.1111/mafi.12330

ORIGINAL ARTICLE


Utility-based pricing and hedging of contingent
claims in Almgren-Chriss model with
temporary price impact
Ibrahim Ekren           Sergey Nadtochiy
Department of Applied Mathematics,
Illinois Institute of Technology, Chicago,      Abstract
Illinois, USA                    In this paper, we construct the utility-based optimal
Correspondence
                           hedging strategy for a European-type op ...

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关键词：contingent hedging Ibrahim Utility Pricing