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Control Optim."],"published-print":{"date-parts":[[2017,1]]},"abstract":"<jats:p>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 differential equation smoothing techniques, we prove that the superreplication price is the viscosity solution of a fully nonlinear parabolic equation. As a by-product, we show how $\\varepsilon$-optimal strategies can be constructed. Finally, a numerical resolution scheme is proposed.<\/jats:p>","DOI":"10.1137\/15m1054109","type":"journal-article","created":{"date-parts":[[2017,10,24]],"date-time":"2017-10-24T13:59:46Z","timestamp":1508853586000},"page":"3319-3348","source":"Crossref","is-referenced-by-count":16,"title":["Hedging of Covered Options with Linear Market Impact and Gamma Constraint"],"prefix":"10.1137","volume":"55","author":[{"given":"Bruno","family":"Bouchard","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Gr\u00e9goire","family":"Loeper","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Yiyi","family":"Zou","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"351","published-online":{"date-parts":[[2017,10,24]]},"reference":[{"key":"atypb1","first-page":"19","author":"Abergel F.","year":"2016","journal-title":"Springer"},{"key":"atypb2","unstructured":"G. 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