Large traders and illiquid options: hedging vs. manipulation
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Publication:658638
DOI10.1016/j.jedc.2011.06.001zbMath1282.91336OpenAlexW3124680661MaRDI QIDQ658638
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
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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