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Hedging Under Gamma Constraints By Optimal Stopping And Face-Lifting


  • H. Mete Soner
  • Nizar Touzi


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  • H. Mete Soner & Nizar Touzi, 2007. "Hedging Under Gamma Constraints By Optimal Stopping And Face-Lifting," Mathematical Finance, Wiley Blackwell, vol. 17(1), pages 59-79.
  • Handle: RePEc:bla:mathfi:v:17:y:2007:i:1:p:59-79

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    References listed on IDEAS

    1. Eckhard Platen & Martin Schweizer, 1998. "On Feedback Effects from Hedging Derivatives," Mathematical Finance, Wiley Blackwell, vol. 8(1), pages 67-84.
    2. Rüdiger Frey & Alexander Stremme, 1997. "Market Volatility and Feedback Effects from Dynamic Hedging," Mathematical Finance, Wiley Blackwell, vol. 7(4), pages 351-374.
    3. RØdiger Frey, 1998. "Perfect option hedging for a large trader," Finance and Stochastics, Springer, vol. 2(2), pages 115-141.
    4. Umut Çetin & Robert A. Jarrow & Philip Protter, 2008. "Liquidity risk and arbitrage pricing theory," World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 8, pages 153-183 World Scientific Publishing Co. Pte. Ltd..
    5. Cuoco, Domenico & Cvitanic, Jaksa, 1998. "Optimal consumption choices for a 'large' investor," Journal of Economic Dynamics and Control, Elsevier, vol. 22(3), pages 401-436, March.
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    Cited by:

    1. Bruno Bouchard & Grégoire Loeper & Yiyi Zou, 2016. "Almost-sure hedging with permanent price impact," Finance and Stochastics, Springer, vol. 20(3), pages 741-771, July.

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