On derivatives with illiquid underlying and market manipulation

DOI10.1080/14697688.2011.552517zbMath1219.91140MaRDI QIDQ3088325

Felix Naujokat, Ulrich Horst

Publication date: 19 August 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.552517

zbMATH Keywords

game theory; stochastic models; derivatives pricing; market manipulation; liquidity modelling

Mathematics Subject Classification ID

91A80: Applications of game theory

91B16: Utility theory

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

HEDGING OF AMERICAN OPTIONS IN ILLIQUID MARKETS WITH PRICE IMPACTS, OPTION PRICING IN MARKETS WITH INFORMED TRADERS

Cites Work

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