{"id":"https://openalex.org/W2211082179","doi":"https://doi.org/10.1137/15m1054109","title":"Hedging of Covered Options with Linear Market Impact and Gamma Constraint","display_name":"Hedging of Covered Options with Linear Market Impact and Gamma Constraint","publication_year":2017,"publication_date":"2017-01-01","ids":{"openalex":"https://openalex.org/W2211082179","doi":"https://doi.org/10.1137/15m1054109","mag":"2211082179"},"language":"en","primary_location":{"id":"doi:10.1137/15m1054109","is_oa":false,"landing_page_url":"https://doi.org/10.1137/15m1054109","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"},"type":"article","indexed_in":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/1512.07087","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5030868049","display_name":"Bruno Bouchard","orcid":"https://orcid.org/0000-0002-4716-1253"},"institutions":[{"id":"https://openalex.org/I171048554","display_name":"Centre de Recherche en Math\u00e9matiques de la D\u00e9cision","ror":"https://ror.org/03s0gj002","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I171048554","https://openalex.org/I2746051580","https://openalex.org/I4210141950","https://openalex.org/I56435720"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Bruno Bouchard","raw_affiliation_strings":["CEREMADE - CEntre de REcherches en MAth\u00e9matiques de la DEcision (Place du Mar\u00e9chal de Lattre de Tassigny 75775 - Paris Cedex 16 - France)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"CEREMADE - CEntre de REcherches en MAth\u00e9matiques de la DEcision (Place du Mar\u00e9chal de Lattre de Tassigny 75775 - Paris Cedex 16 - France)","institution_ids":["https://openalex.org/I171048554"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5051304022","display_name":"Gr\u00e9goire Loeper","orcid":"https://orcid.org/0000-0002-5320-9516"},"institutions":[{"id":"https://openalex.org/I4210107720","display_name":"CentraleSup\u00e9lec","ror":"https://ror.org/019tcpt25","country_code":"FR","type":"facility","lineage":["https://openalex.org/I277688954","https://openalex.org/I4210107720"]},{"id":"https://openalex.org/I56590836","display_name":"Monash University","ror":"https://ror.org/02bfwt286","country_code":"AU","type":"education","lineage":["https://openalex.org/I56590836"]}],"countries":["AU","FR"],"is_corresponding":false,"raw_author_name":"Gr\u00e9goire Loeper","raw_affiliation_strings":["FiQuant - Chaire de finance quantitative (Laboratoire MICS Ecole CentraleSupelec \r\n  Campus de  Gif  - Plateau du Moulon\r\n3  rue Joliot Curie\r\n91192  GIF-SUR-YVETTE CEDEX - France)","Monash University [Clayton] (Clayton, VIC 3800, Australia - Australia)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"FiQuant - Chaire de finance quantitative (Laboratoire MICS Ecole CentraleSupelec \r\n  Campus de  Gif  - Plateau du Moulon\r\n3  rue Joliot Curie\r\n91192  GIF-SUR-YVETTE CEDEX - France)","institution_ids":["https://openalex.org/I4210107720"]},{"raw_affiliation_string":"Monash University [Clayton] (Clayton, VIC 3800, Australia - Australia)","institution_ids":["https://openalex.org/I56590836"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5109350933","display_name":"Yiyi Zou","orcid":null},"institutions":[{"id":"https://openalex.org/I171048554","display_name":"Centre de Recherche en Math\u00e9matiques de la D\u00e9cision","ror":"https://ror.org/03s0gj002","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I171048554","https://openalex.org/I2746051580","https://openalex.org/I4210141950","https://openalex.org/I56435720"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Yiyi Zou","raw_affiliation_strings":["CEREMADE - CEntre de REcherches en MAth\u00e9matiques de la DEcision (Place du Mar\u00e9chal de Lattre de Tassigny 75775 - Paris Cedex 16 - France)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"CEREMADE - CEntre de REcherches en MAth\u00e9matiques de la DEcision (Place du Mar\u00e9chal de Lattre de Tassigny 75775 - Paris Cedex 16 - France)","institution_ids":["https://openalex.org/I171048554"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":5.4967,"has_fulltext":false,"cited_by_count":27,"citation_normalized_percentile":{"value":0.95547932,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"55","issue":"5","first_page":"3319","last_page":"3348"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9969000220298767,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9969000220298767,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11976","display_name":"Capital Investment and Risk Analysis","score":0.9861000180244446,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.9682000279426575,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/constraint","display_name":"Constraint (computer-aided design)","score":0.7604670524597168},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.7463316917419434},{"id":"https://openalex.org/keywords/viscosity-solution","display_name":"Viscosity solution","score":0.7391220331192017},{"id":"https://openalex.org/keywords/smoothing","display_name":"Smoothing","score":0.7065812349319458},{"id":"https://openalex.org/keywords/scheme","display_name":"Scheme (mathematics)","score":0.5646283626556396},{"id":"https://openalex.org/keywords/nonlinear-system","display_name":"Nonlinear system","score":0.5450818538665771},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.4971146881580353},{"id":"https://openalex.org/keywords/partial-differential-equation","display_name":"Partial differential equation","score":0.43908676505088806},{"id":"https://openalex.org/keywords/market-impact","display_name":"Market impact","score":0.43899211287498474},{"id":"https://openalex.org/keywords/stochastic-differential-equation","display_name":"Stochastic differential equation","score":0.4352155029773712},{"id":"https://openalex.org/keywords/product","display_name":"Product (mathematics)","score":0.4299374520778656},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.3910466134548187},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.32937633991241455},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.19048112630844116},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.14983481168746948},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.10234546661376953}],"concepts":[{"id":"https://openalex.org/C2776036281","wikidata":"https://www.wikidata.org/wiki/Q48769818","display_name":"Constraint (computer-aided design)","level":2,"score":0.7604670524597168},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7463316917419434},{"id":"https://openalex.org/C88731125","wikidata":"https://www.wikidata.org/wiki/Q7935676","display_name":"Viscosity solution","level":2,"score":0.7391220331192017},{"id":"https://openalex.org/C3770464","wikidata":"https://www.wikidata.org/wiki/Q775963","display_name":"Smoothing","level":2,"score":0.7065812349319458},{"id":"https://openalex.org/C77618280","wikidata":"https://www.wikidata.org/wiki/Q1155772","display_name":"Scheme (mathematics)","level":2,"score":0.5646283626556396},{"id":"https://openalex.org/C158622935","wikidata":"https://www.wikidata.org/wiki/Q660848","display_name":"Nonlinear system","level":2,"score":0.5450818538665771},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4971146881580353},{"id":"https://openalex.org/C93779851","wikidata":"https://www.wikidata.org/wiki/Q271977","display_name":"Partial differential equation","level":2,"score":0.43908676505088806},{"id":"https://openalex.org/C127288500","wikidata":"https://www.wikidata.org/wiki/Q1241055","display_name":"Market impact","level":4,"score":0.43899211287498474},{"id":"https://openalex.org/C51955184","wikidata":"https://www.wikidata.org/wiki/Q1545585","display_name":"Stochastic differential equation","level":2,"score":0.4352155029773712},{"id":"https://openalex.org/C90673727","wikidata":"https://www.wikidata.org/wiki/Q901718","display_name":"Product (mathematics)","level":2,"score":0.4299374520778656},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.3910466134548187},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.32937633991241455},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.19048112630844116},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.14983481168746948},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.10234546661376953},{"id":"https://openalex.org/C51926234","wikidata":"https://www.wikidata.org/wiki/Q3312426","display_name":"Market microstructure","level":3,"score":0.0},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C182306322","wikidata":"https://www.wikidata.org/wiki/Q1779371","display_name":"Order (exchange)","level":2,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1137/15m1054109","is_oa":false,"landing_page_url":"https://doi.org/10.1137/15m1054109","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:1512.07087","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1512.07087","pdf_url":"https://arxiv.org/pdf/1512.07087","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"text"},{"id":"pmh:oai:HAL:hal-01247523v1","is_oa":true,"landing_page_url":"https://hal.science/hal-01247523","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SIAM Journal on Control and Optimization, 2017, 55 (5), pp.3319-3348. &#x27E8;10.1137/15m1054109&#x27E9;","raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:1512.07087","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1512.07087","pdf_url":"https://arxiv.org/pdf/1512.07087","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"text"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G1882394941","display_name":"Liquidity effects, risk control and BSDEs","funder_award_id":"ANR-11-JS01-0007","funder_id":"https://openalex.org/F4320320883","funder_display_name":"Agence Nationale de la Recherche"},{"id":"https://openalex.org/G3846589334","display_name":"Control and simulAtion of Electrical Systems, interAction and RobustnesS","funder_award_id":"ANR-15-CE05-0024","funder_id":"https://openalex.org/F4320320883","funder_display_name":"Agence Nationale de la Recherche"}],"funders":[{"id":"https://openalex.org/F4320320883","display_name":"Agence Nationale de la Recherche","ror":"https://ror.org/00rbzpz17"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":26,"referenced_works":["https://openalex.org/W1545370368","https://openalex.org/W1578406144","https://openalex.org/W1825269578","https://openalex.org/W1858128010","https://openalex.org/W1971138837","https://openalex.org/W1973511230","https://openalex.org/W1977396001","https://openalex.org/W2003006180","https://openalex.org/W2024969615","https://openalex.org/W2032316144","https://openalex.org/W2036185216","https://openalex.org/W2042683957","https://openalex.org/W2071059912","https://openalex.org/W2075749097","https://openalex.org/W2115950314","https://openalex.org/W2135651599","https://openalex.org/W2141791186","https://openalex.org/W2155187235","https://openalex.org/W2156894747","https://openalex.org/W2524112160","https://openalex.org/W2602227371","https://openalex.org/W2612916517","https://openalex.org/W2952785498","https://openalex.org/W3124889316","https://openalex.org/W4230747638","https://openalex.org/W4231836852"],"related_works":["https://openalex.org/W2383807498","https://openalex.org/W1978572805","https://openalex.org/W1997992934","https://openalex.org/W1987225439","https://openalex.org/W4238188170","https://openalex.org/W2125114371","https://openalex.org/W3012146279","https://openalex.org/W2980424366","https://openalex.org/W2011375692","https://openalex.org/W3121867036"],"abstract_inverted_index":{"Within":[0],"a":[1,14,41,47,58],"financial":[2],"model":[3],"with":[4],"linear":[5],"price":[6,35],"impact,":[7],"we":[8,30,49],"study":[9],"the":[10,33,37],"problem":[11],"of":[12,40],"hedging":[13],"covered":[15],"European":[16],"option":[17],"under":[18],"gamma":[19],"constraint.":[20],"Using":[21],"stochastic":[22],"target":[23],"and":[24],"partial":[25],"differential":[26],"equation":[27],"smoothing":[28],"techniques,":[29],"prove":[31],"that":[32],"superreplication":[34],"is":[36,62],"viscosity":[38],"solution":[39],"fully":[42],"nonlinear":[43],"parabolic":[44],"equation.":[45],"As":[46],"by-product,":[48],"show":[50],"how":[51],"$\\varepsilon$-optimal":[52],"strategies":[53],"can":[54],"be":[55],"constructed.":[56],"Finally,":[57],"numerical":[59],"resolution":[60],"scheme":[61],"proposed.":[63]},"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":3},{"year":2019,"cited_by_count":7},{"year":2018,"cited_by_count":5},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":1}],"updated_date":"2026-07-02T09:51:11.867554","created_date":"2025-10-10T00:00:00"}
