Hedging costs for two large investors

DOI10.1080/17442508.2010.490299zbMath1229.91287OpenAlexW2160892898MaRDI QIDQ3017913

Takashi Adachi

Publication date: 20 July 2011

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2010.490299

zbMATH Keywords

dynamic programmingviscosity solutionstochastic controllarge investorhedging costMarkov market model

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Existence theories for optimal control problems involving partial differential equations (49J20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

Related Items (1)

On dynamic programming equations for utility indifference pricing under delta constraints

Cites Work

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• Perfect option hedging for a large trader
• Liquidity risk and arbitrage pricing theory
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• Market Volatility and Feedback Effects from Dynamic Hedging
• User’s guide to viscosity solutions of second order partial differential equations
• On Feedback Effects from Hedging Derivatives
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• On superhedging under delta constraints
• Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions

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