Hedging of Covered Options with Linear Market Impact and Gamma Constraint
نویسندگان
چکیده
منابع مشابه
Hedging of Covered Options with Linear Market Impact and Gamma Constraint
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 ε-optimal strategies can be constructed. Fina...
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HRUŠKA JURAJ. 2015. Delta-gamma-theta Hedging of Crude Oil Asian Options. Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 63(6): 1897–1903. Since Black-Scholes formula was derived, many methods have been suggested for vanilla as well as exotic options pricing. More of investing and hedging strategies have been developed based on these pricing models. Goal of this paper i...
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1 CMAP-Ecole Polytechnique, France and Center for Financial Engineering, Columbia University, New York, [email protected] 2 Paris VII University and INRIA, Université Paris VII, Laboratoire de Probabilités et Modèles Aléatoires Case courier 7012 2, Place Jussieu, 75251 Paris, France, [email protected] 3 Université Toulouse 1 Sciences Sociales, GREMAQ, 21, allée de Brienne, 31000 Toulo...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2017
ISSN: 0363-0129,1095-7138
DOI: 10.1137/15m1054109