"Duality theory for exponential utility-based hedging in the Almgren-Chriss ..."

Yan Dolinsky (2024)

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DOI: 10.1017/JPR.2023.49

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type: Journal Article

metadata version: 2024-06-06

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Yan Dolinsky:
Duality theory for exponential utility-based hedging in the Almgren-Chriss model. J. Appl. Probab. 61(2): 420-438 (2024)

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