Hedging of covered options with linear market impact and gamma constraint (Q4588841)
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scientific article; zbMATH DE number 6802481
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| default for all languages | No label defined |
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| 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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0.8211768269538879
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0.8126224875450134
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0.8120012879371643
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0.8095437288284302
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0.8003109693527222
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