英文标题：
《Hedging of covered options with linear market impact and gamma
constraint》
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作者：
B Bouchard (CEREMADE), G Loeper (FiQuant), Y Zou (CEREMADE)
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最新提交年份：
2015
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英文摘要：
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 $\\epsilon$-optimal strategies can be constructed. Finally, a numerical resolution scheme is proposed.
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中文摘要：
在一个具有线性价格影响的金融模型中，我们研究了gamma约束下覆盖欧式期权的套期保值问题。利用随机目标和偏微分方程平滑技术，我们证明了超复制价格是一个完全非线性抛物方程的粘性解。作为副产品，我们展示了如何构建$\\epsilon$最优策略。最后，提出了一种数值求解方法。
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分类信息：

一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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