Option pricing with linear market impact and nonlinear Black–Scholes equations

Title
Option pricing with linear market impact and nonlinear Black–Scholes equations
Authors
Keywords
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Journal
ANNALS OF APPLIED PROBABILITY
Volume 28, Issue 5, Pages 2664-2726
Publisher
Institute of Mathematical Statistics
Online
2018-08-28
DOI
10.1214/17-aap1367

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