Author

D. Itkin

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Preprint Sep 2026

When Hedging Changes the Payoff: Option Replication with Price Impact and Execution Costs

Hedging a derivative by trading the underlying asset changes the payoff that the hedging intended to replicate. We study this phenomenon when trading generates price impact and execution costs. In a binomial model, we characterize replication through a fixed-point equation. In continuous time, we derive a nonlinear pri...

D. Itkin, Leandro Sánchez-Betancourt · 0 citations

Open access Sep 2026

Ergodic robust maximisation of asymptotic growth with stochastic factor processes

We consider a robust asymptotic growth problem under model uncertainty in the presence of stochastic factors. We fix two inputs representing the instantaneous covariance for the asset price process X\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepa...

D. Itkin, B. Koch, Martin Larsson et al. · Finance and Stochastics · 0 citations