Large traders and illiquid options: hedging vs. manipulation

DOI10.1016/j.jedc.2011.06.001zbMath1282.91336OpenAlexW3124680661MaRDI QIDQ658638

Holger Kraft, Christoph Kühn

Publication date: 13 January 2012

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2011.06.001

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

American options in an imperfect complete market with default ⋮ Portfolio optimization for a large investor under partial information and price impact ⋮ Portfolio Optimization for a Large Investor Controlling Market Sentiment Under Partial Information ⋮ On derivatives with illiquid underlying and market manipulation ⋮ OPTIMAL CONSUMPTION AND INVESTMENT FOR A LARGE INVESTOR: AN INTENSITY-BASED CONTROL FRAMEWORK

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