考虑执行成本和市场冲击的期权定价和套期保值
Option pricing and hedging with execution costs and market impact
摘要：
本文考虑了流动性重要时的看涨期权的定价和套期保值问题，即对于一个大的名义或非流动性的标的资产。在实践中，与无摩擦市场中价格接受代理人的经典假设相反，由于执行成本和市场冲击，交易者不能完全对冲。他们确实面临着对冲误差和成本之间的权衡，可以通过使用随机最优控制来解决。我们的建模框架，这是最近的文献的启发，最优执行，使之有可能占两个执行成本和持久的市场冲击的交易。价格是通过无差异定价方法获得的。数值例子，以及标准方法的比较。
英文摘要：
This article considers the pricing and hedging of a call option when liquidity matters, that is, either for a large nominal or for an illiquid underlying asset. In practice, as opposed to the classical assumptions of a price-taking agent in a frictionless market, traders cannot be perfectly hedged because of execution costs and market impact. They indeed face a trade-off between hedging errors and costs that can be solved by using stochastic optimal control. Our modelling framework, which is inspired by the recent literature on optimal execution, makes it possible to account for both execution costs and the lasting market impact of trades. Prices are obtained through the indifference pricing approach. Numerical examples are provided, along with comparisons to standard methods.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
