内生永久市场冲击下的完全套期保值
Perfect hedging under endogenous permanent market impacts
摘要：
我们建立了一个非线性的价格曲线在市场报价的效用无差异曲线的一个代表性的流动性供应商。作为效用函数，我们采用g期望。与金融工程的标准框架相反，交易员不再是价格接受者，因为任何交易都会通过对供应商库存的影响产生永久的市场冲击。交易策略的损益被写成非线性随机积分。在这个市场冲击模型下，我们引入了一个完备性条件，在这个条件下，任何衍生品都可以被动态交易策略完美地复制。在马尔可夫设定的特殊情况下，相应的定价和套期保值可以通过求解半线性偏微分方程来完成。
英文摘要：
We model a nonlinear price curve quoted in a market as the utility indifference curve of a representative liquidity supplier. As the utility function we adopt a g-expectation. In contrast to the standard framework of financial engineering, a trader is no more price taker as any trade has a permanent market impact via an effect to the supplier's inventory. The P&L of a trading strategy is written as a nonlinear stochastic integral. Under this market impact model, we introduce a completeness condition under which any derivative can be perfectly replicated by a dynamic trading strategy. In the special case of a Markovian setting the corresponding pricing and hedging can be done by solving a semi-linear PDE.
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。
