Almost-sure hedging with permanent price impact

DOI10.1007/s00780-016-0295-1zbMath1369.91172arXiv1503.05475OpenAlexW2156894747MaRDI QIDQ309172

Grégoire Loeper, Bruno Bouchard, Yiyi Zou

Publication date: 7 September 2016

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.05475

zbMATH Keywords

hedgingprice impact

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (14)

Option pricing with linear market impact and nonlinear Black-Scholes equations ⋮ Optimal asset liquidation with multiplicative transient price impact ⋮ Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact ⋮ Price impact on term structure ⋮ Understanding the dual formulation for the hedging of path-dependent options with price impact ⋮ Arbitrage theory for non convex financial market models ⋮ Hedging of Covered Options with Linear Market Impact and Gamma Constraint ⋮ Optimal investment, derivative demand, and arbitrage under price impact ⋮ Hedging with physical or cash settlement under transient multiplicative price impact ⋮ Interior second derivatives estimates for nonlinear diffusions ⋮ Optimal accelerated share repurchases ⋮ Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies ⋮ 2017 MATRIX annals ⋮ Second-Order Stochastic Target Problems with Generalized Market Impact

Cites Work

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• The Dynamic Programming Equation for Second Order Stochastic Target Problems
• The Feedback Effect of Hedging in Illiquid Markets
• Superreplication Under Gamma Constraints
• General Black-Scholes models accounting for increased market volatility from hedging strategies

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