Large traders and illiquid options: hedging vs. manipulation
type: Item
instance of: scholarly article
title: Large traders and illiquid options: hedging vs. manipulation
zbMATH Open document ID: 1282.91336
author: Holger Kraft
author: Christoph Kühn
publication date: 2012-01-13T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 5996949
MaRDI profile type: Publication
full work available at URL: j.jedc.2011.06.001
OpenAlex ID: W3124680661
cites work: Hedging and Portfolio Optimization in Financial Markets with a Large Trader
cites work: Consumption choice and asset pricing with a non-price-taking agent
cites work: Liquidity risk and arbitrage pricing theory
cites work: MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
cites work: Optimal liquidation strategies and their implications
cites work: User’s guide to viscosity solutions of second order partial differential equations
cites work: Optimal consumption choices for a `large' investor
cites work: Hedging options for a large investor and forward-backward SDE's
cites work: Stochastic finance. An introduction in discrete time
cites work: Market volatility and feedback effects from dynamic hedging
cites work: Dynamic trading policies with price impact
cites work: VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
cites work: Q3613975
cites work: Portfolio choice under transitory price impact
cites work: Continuous dependence estimates for viscosity solutions of fully nonlinear degenerate parabolic equations
cites work: Optimum consumption and portfolio rules in a continuous-time model
cites work: Q4435813
cites work: Optimal investment in incomplete markets when wealth may become negative.
DOI: 10.1016/J.JEDC.2011.06.001
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 5996949