Mathematical Models for Stock Pinning near Option Expiration Dates

DOI10.1002/cpa.21404zbMath1242.91182OpenAlexW2159313672MaRDI QIDQ2892965

Gennady Kasyan, Michael D. Lipkin, Marco Avellaneda

Publication date: 25 June 2012

Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cpa.21404

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Towards a self-consistent theory of volatility ⋮ Option pricing models without probability: a rough paths approach ⋮ In memoriam: Marco Avellaneda (1955–2022) ⋮ Large investor trading impacts on volatility ⋮ Optimal stopping of a Brownian bridge with an unknown pinning point

Cites Work

• More statistical properties of order books and price impact
• Modeling stock pinning
• ON SMALL RANDOM PERTURBATIONS OF DYNAMICAL SYSTEMS

This page was built for publication: Mathematical Models for Stock Pinning near Option Expiration Dates