"Hedging of Covered Options with Linear Market Impact and Gamma Constraint."

Bruno Bouchard, Grégoire Loeper, Yiyi Zou (2017)

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DOI: 10.1137/15M1054109

access: closed

type: Journal Article

metadata version: 2020-07-09

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Bruno Bouchard, Grégoire Loeper, Yiyi Zou:
Hedging of Covered Options with Linear Market Impact and Gamma Constraint. SIAM J. Control. Optim. 55(5): 3319-3348 (2017)

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