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Hedging of Covered Options with Linear Market Impact and Gamma Constraint - MaRDI portal

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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English
Hedging of Covered Options with Linear Market Impact and Gamma Constraint
scientific article; zbMATH DE number 6802481

    Statements

    title
    Hedging of Covered Options with Linear Market Impact and Gamma Constraint (English)
    0 references
    DOI
    10.1137/15M1054109
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    author
    Bruno Bouchard
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    Grégoire Loeper
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    Yiyi Zou
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    publication date
    2 November 2017
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    Mathematics Subject Classification ID
    91G20
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    49L25
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    35Q91
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    zbMATH DE Number
    6802481
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    zbMATH Keywords
    hedging
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    price impact
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    stochastic target
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    arXiv ID
    1512.07087
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    cites work
    Q4844840
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    Q4895006
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    Q4226355
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    OpenAlex ID
    W2211082179
    0 references
     
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