Mathematical Models for Stock Pinning near Option Expiration Dates
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Publication:2892965
DOI10.1002/cpa.21404zbMath1242.91182OpenAlexW2159313672MaRDI QIDQ2892965
Gennady Kasyan, Michael D. Lipkin, Marco Avellaneda
Publication date: 25 June 2012
Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/cpa.21404
Related Items (5)
Towards a self-consistent theory of volatility ⋮ Option pricing models without probability: a rough paths approach ⋮ In memoriam: Marco Avellaneda (1955–2022) ⋮ Large investor trading impacts on volatility ⋮ Optimal stopping of a Brownian bridge with an unknown pinning point
Cites Work
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