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

Bruno Bouchard Grégoire Loeper Yiyi Zou

Published in: SIAM J. Control. Optim. (2017)

Keyphrases

option pricing
stock price
black scholes
linear constraints
financial markets
decision analysis
stock market
linear inequalities
genetic algorithm
long term
non stationary
short term
news articles
linear systems
market share
payoff functions