Pricing and Hedging Financial Derivatives in Merger & Acquisition Deals with Price Impact

By Emilio Barucci, Yuheng Lan, Daniele Marazzina

Published 2026-04-24

Everscope rating

1946.4

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Utility Indifference Pricing with Stochastic Control under Linear Market Impact. Problem types: Optimization, Algorithmic Execution, Risk Management, Portfolio Optimization.

arXiv:2604.21581 · Paper rankings

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