Hedging of Covered Options with Linear Market Impact and Gamma Constraint
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Publication:4588841
DOI10.1137/15M1054109zbMath1415.91278arXiv1512.07087OpenAlexW2211082179MaRDI 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
Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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