arXiv (All)
open access
On the utility problem in a market where price impact is transient
We consider a discrete-time model of a financial market where a risky asset is bought and sold with transactions having a transient price impact. It is shown that the corresponding utility maximization problem admits a solution. We manage to remove some unnatural restrictions on the market depth and
Conceptio Open Archive
Analyze & explore related research in Conceptio
Connect this record directly into your research workflow or AI agent. Explore citations across open repositories, query full text, and export structured proof bundles.
This document is indexed with metadata only: full text is not available in the archive for this record. Open the official source ↗
Related documents
- Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization#778172
- Asset Price Dynamics and Infrequent Trades#942596
- A Simple and Precise Method for Pricing Convertible Bond with Credit Risk#778166
- A Dynamic Theory of Random Price Discounts#1000661
- Unit-Demand Pricing for Min-Buying Customers#1342667
Record · ID 1399759
Retrieved via Conceptio: every document is proof-bundled with source, license, and retrieval metadata.
Retrieved via Conceptio: every document is proof-bundled with source, license, and retrieval metadata.
Bring this data into your agent: Connect via MCP or API · 20 free credits to start · no card required
Read the Docs → · View CLI source on GitHub · Conceptio Open Knowledge Archive
Read the Docs → · View CLI source on GitHub · Conceptio Open Knowledge Archive