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Generalized stochastic target problems for pricing and partial hedging under loss constraints - Application in optimal book liquidation

dc.contributor.authorBouchard, Bruno
dc.contributor.authorDang, Ngoc Minh
dc.date.accessioned2010-09-06T13:10:14Z
dc.date.available2010-09-06T13:10:14Z
dc.date.issued2013
dc.identifier.issn0949-2984
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/4696
dc.language.isoenen
dc.subjectStochastic target problems
dc.subjectState constraints
dc.subjectPricing under risk constraint
dc.subjectBook liquidation
dc.subject.ddc519en
dc.titleGeneralized stochastic target problems for pricing and partial hedging under loss constraints - Application in optimal book liquidation
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherINSEE – École Nationale de la Statistique et de l'Administration Économique;France
dc.description.abstractenWe consider a singular with state constraints version of the stochastic target problems studied in Soner and Touzi (2002) and more recently Bouchard, Elie and Touzi (2008), among others. This provides a general framework for the pricing of contingent claims under risk constraints. Our extended version perfectly suits to market models with proportional transaction costs and to order book liquidation issues. Our main result is a PDE characterization of the associated pricing function. As an example of application, we discuss the evaluation of VWAP-guaranteed type book liquidation contracts, for a general class of risk functions.
dc.relation.isversionofjnlnameFinance and Stochastics
dc.relation.isversionofjnlvol17
dc.relation.isversionofjnlissue1
dc.relation.isversionofjnldate2013
dc.relation.isversionofjnlpages31-72
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/s00780-012-0198-8
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherSpringer
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2017-01-18T15:18:56Z


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