Modeling stock pinning

DOI10.1080/14697680701881763zbMath1154.91453OpenAlexW3125905086MaRDI QIDQ3605241

David A. Samuel, Marc Jeannin, Giulia Iori

Publication date: 23 February 2009

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

Full work available at URL: https://doi.org/10.1080/14697680701881763

zbMATH Keywords

hedging strategiespinning effectmicrostrucutre modeling

Mathematics Subject Classification ID

Related Items (5)

Mathematical Models for Stock Pinning near Option Expiration Dates ⋮ Optimally stopping a Brownian bridge with an unknown pinning time: a Bayesian approach ⋮ Option pricing models without probability: a rough paths approach ⋮ Optimal stopping for the exponential of a Brownian bridge ⋮ Optimal stopping of a Brownian bridge with an unknown pinning point

Cites Work

• Perfect option hedging for a large trader
• Market Volatility and Feedback Effects from Dynamic Hedging
• Myopic loss aversion and margin of safety: the risk of value investing
• On Feedback Effects from Hedging Derivatives
• The Feedback Effect of Hedging in Illiquid Markets
• Analyzing and modeling 1+1d markets

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