AN EQUILIBRIUM-BASED MODEL OF STOCK-PINNING
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Publication:5297238
DOI10.1142/S0219024907004287zbMath1136.91455MaRDI QIDQ5297238
Publication date: 18 July 2007
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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Cites Work
- The Pricing of Options and Corporate Liabilities
- Perfect option hedging for a large trader
- Market Volatility and Feedback Effects from Dynamic Hedging
- On Feedback Effects from Hedging Derivatives
- A Microeconomic Approach to Diffusion Models For Stock Prices
- Option pricing for large agents
- Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
- General Black-Scholes models accounting for increased market volatility from hedging strategies
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