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Hedging of covered options with linear market impact and gamma constraint

hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorBouchard, Bruno*
hal.structure.identifier
dc.contributor.authorLoeper, Grégoire*
hal.structure.identifier
dc.contributor.authorZou, Yiyi*
dc.date.accessioned2017-11-28T10:08:04Z
dc.date.available2017-11-28T10:08:04Z
dc.date.issued2017
dc.identifier.issn0363-0129
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17078
dc.language.isoenen
dc.subjectStochastic target
dc.subjectHedging
dc.subjectPrice impact
dc.subject.ddc519en
dc.titleHedging of covered options with linear market impact and gamma constraint
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWithin a financial model with linear price impact, we study the problem of hedging a covered European option under gamma constraint. Using stochastic target and partial differential equation smoothing techniques, we prove that the super-replication price is the viscosity solution of a fully non-linear parabolic equation. As a by-product, we show how ε-optimal strategies can be constructed. Finally, a numerical resolution scheme is proposed.
dc.relation.isversionofjnlnameSIAM Journal on Control and Optimization
dc.relation.isversionofjnlvol55
dc.relation.isversionofjnlissue5
dc.relation.isversionofjnldate2017
dc.relation.isversionofjnlpages3319–3348
dc.relation.isversionofdoi10.1137/15M1054109
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenon
dc.description.halcandidatenon
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2017-12-08T16:59:05Z
hal.author.functionaut
hal.author.functionaut
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