Large investor trading impacts on volatility

DOI10.1016/j.anihpc.2005.12.006zbMath1160.91016OpenAlexW2013870323WikidataQ56484402 ScholiaQ56484402MaRDI QIDQ1002773

Jean-Michel Lasry, Pierre-Louis Lions

Publication date: 26 February 2009

Published in: Annales de l'Institut Henri Poincaré. Analyse Non Linéaire (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/78736

zbMATH Keywords

hedgingstochastic controlfinanceinvestmentpricingfair value

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Towards a self-consistent theory of volatility
• Asymmetric information and imperfect competition in a continuous time multivariate security model
• Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
• Market Volatility and Feedback Effects from Dynamic Hedging
• Mathematical Models for Stock Pinning near Option Expiration Dates
• Continuous Auctions and Insider Trading
• Une classe nouvelle de problèmes singuliers de contrôle stochastique
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
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