Almost-sure hedging with permanent price impact
نویسندگان
چکیده
منابع مشابه
Almost-sure hedging with permanent price impact
We consider a financial model with permanent price impact. Continuous time trading dynamics are derived as the limit of discrete rebalancing policies. We then study the problem of super-hedging a European option. Our main result is the derivation of a quasi-linear pricing equation. It holds in the sense of viscosity solutions. When it admits a smooth solution, it provides a perfect hedging stra...
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2016
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s00780-016-0295-1