Hedging of Covered Options with Linear Market Impact and Gamma Constraint (Q4588841)
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scientific article; zbMATH DE number 6802481
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Hedging of Covered Options with Linear Market Impact and Gamma Constraint |
scientific article; zbMATH DE number 6802481 |
Statements
Hedging of Covered Options with Linear Market Impact and Gamma Constraint (English)
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2 November 2017
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hedging
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price impact
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stochastic target
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