| dc.contributor.author | Bouchard, Bruno | * |
| dc.contributor.author | Loeper, Grégoire | * |
| dc.contributor.author | Soner, Halil Mete | * |
| dc.contributor.author | Zhou, Chao | * |
| dc.date.accessioned | 2018-09-03T11:44:47Z | |
| dc.date.available | 2018-09-03T11:44:47Z | |
| dc.date.issued | 2018 | |
| dc.identifier.uri | https://basepub.dauphine.fr/handle/123456789/17924 | |
| dc.language.iso | en | en |
| dc.subject | stochastic target problems | |
| dc.subject | general market impacts | |
| dc.subject.ddc | 519 | en |
| dc.title | Second order stochastic target problems with generalized market impact | |
| dc.type | Document de travail / Working paper | |
| dc.description.abstracten | We extend the study of [7, 18] to stochastic target problems with general market impacts. Namely, we consider a general abstract model which can be associated to a fully nonlinear parabolic equation. Unlike [7, 18], the equation is not concave and the regularization/verification approach of [7] can not be applied. We also relax the gamma constraint of [7]. In place, we need to generalize the a priori estimates of [18] and exhibit smooth solutions from the classical parabolic equations theory. Up to an additional approximating argument, this allows us to show that the super-hedging price solves the parabolic equation and that a perfect hedging strategy can be constructed when the coefficients are smooth enough. This representation leads to a general dual formulation. We finally provide an asymptotic expansion around a model without impact. | |
| dc.identifier.citationpages | 27 | |
| dc.relation.ispartofseriestitle | Cahier de recherche CEREMADE, Université Paris-Dauphine | |
| dc.subject.ddclabel | Probabilités et mathématiques appliquées | en |
| dc.description.ssrncandidate | non | |
| dc.description.halcandidate | non | |
| dc.description.readership | recherche | |
| dc.description.audience | International | |
| dc.date.updated | 2019-10-03T09:55:12Z | |
| hal.person.labIds | 60 | * |
| hal.person.labIds | | * |
| hal.person.labIds | | * |
| hal.person.labIds | | * |
