Almost-sure hedging with permanent price impact
نویسندگان
چکیده
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 strategy.
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ورودعنوان ژورنال:
- Finance and Stochastics
دوره 20 شماره
صفحات -
تاریخ انتشار 2016