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Article Dans Une Revue SIAM Journal on Control and Optimization Année : 2017

Hedging of covered options with linear market impact and gamma constraint

Résumé

Within a financial model with linear price impact, we study the problem of hedging a covered European option under gamma constraint. Using stochastic target and partial differential equation smoothing techniques, we prove that the super-replication price is the viscosity solution of a fully non-linear parabolic equation. As a by-product, we show how ε-optimal strategies can be constructed. Finally, a numerical resolution scheme is proposed.
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Dates et versions

hal-01247523 , version 1 (22-12-2015)

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Bruno Bouchard, G Loeper, Y Zou. Hedging of covered options with linear market impact and gamma constraint. SIAM Journal on Control and Optimization, 2017, 55 (5), pp.3319-3348. ⟨10.1137/15m1054109⟩. ⟨hal-01247523⟩
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