%0 Conference Paper %F Oral %T Option Pricing and Hedging with Liquidity Costs and Market Impact %+ Mathématiques et Informatique pour la Complexité et les Systèmes (MICS) %+ Monash University [Clayton] %A Abergel, Frédéric %A Loeper, Gregoire %< avec comité de lecture %3 International Workshop on Econophysics and Sociophysics - Recent Progress and Future Directions (Econophys) %B International Workshop on Econophysics and Sociophysics - Recent Progress and Future Directions (Econophys) %C Jawaharlal Nehru Univ, New Delhi, India %Y Abergel, F %Y Aoyama, H %Y Chakrabarti, BK %Y Chakraborti, A %Y Deo, N %Y Raina, D %Y Vodenska, I %I SPRINGER INTERNATIONAL PUBLISHING AG %8 2017-01 %D 2017 %R 10.1007/978-3-319-47705-3_2 %Z Mathematics [math]/Statistics [math.ST]Conference papers %X We study the influence of taking liquidity costs and market impact into account when hedging a contingent claim. In the continuous time setting and under the assumption of perfect replication, we derive a fully non-linear pricing partial differential equation, and characterize its parabolic nature according to the value of a numerical parameter interpreted as a relaxation coefficient for market impact. We also investigate the case of stochastic volatility models with pseudo-optimal strategies. %G English %L hal-02402364 %U https://centralesupelec.hal.science/hal-02402364 %~ INSMI %~ CENTRALESUPELEC %~ MICS %~ UNIV-PARIS-SACLAY %~ CENTRALESUPELEC-SACLAY %~ GS-ENGINEERING %~ GS-COMPUTER-SCIENCE