231 citations · 447 across the 35 of their papers we have counts for
4 papers · 1 filter
Hedging of covered options with linear market impact and gamma constraint
B Bouchard, G Loeper, Y Zou
Within a financial model with linear price impact, we study the problem of hedging a covered European option under gamma constraint. Using stochastic target and partial differentia…
A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations
Bruno Bouchard, Dylan Possamaï, Xiaolu Tan +1
We provide a unified approach to a priori estimates for supersolutions of BSDEs in general filtrations, which may not be quasi left-continuous. Unlike the previous related approach…
A general Doob-Meyer-Mertens decomposition for -supermartingale systems
Bruno Bouchard, Dylan Possamaï, Xiaolu Tan
We provide a general Doob-Meyer decomposition for -supermartingale systems, which does not require any right-continuity on the system. In particular, it generalizes the Doob-Mey…
Almost-sure hedging with permanent price impact
B. Bouchard, G. Loeper, Y. Zou
We consider a financial model with permanent price impact. Continuous time trading dynamics are derived as the limit of discrete rebalancing policies. We then study the problem of…