Hedging of Covered Options with Linear Market Impact and Gamma Constraint

DOI10.1137/15M1054109zbMath1415.91278arXiv1512.07087MaRDI QIDQ4588841

Bruno Bouchard, Yiyi Zou, Grégoire Loeper

Publication date: 2 November 2017

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.07087

zbMATH Keywords

hedging; price impact; stochastic target

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences

Related Items

Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders, Unnamed Item, Market impact: a systematic study of the high frequency options market, Price impact on term structure, Second-Order Stochastic Target Problems with Generalized Market Impact, Calibration of local‐stochastic volatility models by optimal transport, Hedging with physical or cash settlement under transient multiplicative price impact, Interior second derivatives estimates for nonlinear diffusions, Option pricing with linear market impact and nonlinear Black-Scholes equations, 2017 MATRIX annals, Understanding the dual formulation for the hedging of path-dependent options with price impact, Continuous-time duality for superreplication with transient price impact

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