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英文标题：
《Hedging with Temporary Price Impact》
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作者：
Peter Bank, Mete Soner, Moritz Vo{\\ss}
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最新提交年份：
2016
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英文摘要：
We consider the problem of hedging a European contingent claim in a Bachelier model with transient price impact as proposed by Almgren and Chriss. Following the approach of Rogers and Singh and Naujokat and Westray, the hedging problem can be regarded as a cost optimal tracking problem of the frictionless hedging strategy. We solve this problem explicitly for general predictable target hedging strategies. It turns out that, rather than towards the current target position, the optimal policy trades towards a weighted average of expected future target positions. This generalizes an observation of Garleanu and Pedersen from their homogenous Markovian optimal investment problem to a general hedging problem. Our findings complement a number of previous studies in the literature on optimal strategies in illiquid markets where the frictionless strategy is confined to diffusions. The consideration of general predictable reference strategies is made possible by the use of a convex analysis approach instead of the more common dynamic programming methods.
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中文摘要：
我们考虑了Almgren和Chriss提出的具有瞬时价格影响的Bachelier模型中的欧式未定权益套期保值问题。遵循罗杰斯、辛格、诺约卡特和韦斯特雷的方法，套期保值问题可以看作是无摩擦套期保值策略的成本最优跟踪问题。对于一般的可预测目标对冲策略，我们明确地解决了这个问题。结果表明，最优政策不是朝着当前目标头寸，而是朝着预期未来目标头寸的加权平均值进行交易。本文将Garleanu和Pedersen的一个观察结果从同质马尔可夫最优投资问题推广到一般的套期保值问题。我们的发现补充了之前文献中关于非流动市场最优策略的一些研究，在非流动市场中，无摩擦策略仅限于扩散。通过使用凸分析方法而不是更常见的动态规划方法，可以考虑一般的可预测参考策略。
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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