A market-induced mechanism for stock pinning

DOI10.1088/1469-7688/3/6/301zbMath1405.91579OpenAlexW3125836525MaRDI QIDQ4647287

Michael D. Lipkin, Marco Avellaneda

Publication date: 14 January 2019

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

Full work available at URL: https://doi.org/10.1088/1469-7688/3/6/301

zbMATH Keywords

stochastic differential equationprice elasticitystock pinningoption expiration

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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