MARKET POWER AND FEEDBACK EFFECTS FROM HEDGING DERIVATIVES

DOI10.1142/S0219024902001766zbMath1107.91320OpenAlexW1986402654MaRDI QIDQ3022089

João Amaro de Matos, João Sobral do Rosário

Publication date: 22 June 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024902001766

zbMATH Keywords

stochastic volatilityoption pricingbid-ask spreadfeedback effect

Mathematics Subject Classification ID

Cites Work

• The Pricing of Options and Corporate Liabilities
• Market Volatility and Feedback Effects from Dynamic Hedging
• A General Equilibrium Analysis of Option and Stock Market Interactions
• On Feedback Effects from Hedging Derivatives
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• A Microeconomic Approach to Diffusion Models For Stock Prices
• The Feedback Effect of Hedging in Illiquid Markets
• Principles for modelling financial markets

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