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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 "-optimal strategies can be constructed. Finally, a numerical resolution scheme is proposed.
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Dates et versions

hal-01611790 , version 1 (06-10-2017)

Identifiants

  • HAL Id : hal-01611790 , version 1

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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. ⟨hal-01611790⟩
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