On derivatives with illiquid underlying and market manipulation

DOI10.1080/14697688.2011.552517zbMath1219.91140OpenAlexW2010337428MaRDI QIDQ3088325

Felix Naujokat, Ulrich Horst

Publication date: 19 August 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.552517

zbMATH Keywords

game theorystochastic modelsderivatives pricingmarket manipulationliquidity modelling

Mathematics Subject Classification ID

Applications of game theory (91A80) Utility theory (91B16) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

HEDGING OF AMERICAN OPTIONS IN ILLIQUID MARKETS WITH PRICE IMPACTS, OPTION PRICING IN MARKETS WITH INFORMED TRADERS

Cites Work

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