%0 Journal Article
%T Almost-sure hedging with permanent price impact
%A B. Bouchard
%A G. Loeper
%A Y. Zou
%J Quantitative Finance
%D 2015
%I arXiv
%X 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 super-hedging a European option. Our main result is the derivation of a quasi-linear pricing equation. It holds in the sense of viscosity solutions. When it admits a smooth solution, it provides a perfect hedging strategy.
%U http://arxiv.org/abs/1503.05475v1