Large investor trading impacts on volatility (Q1002773)
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scientific article; zbMATH DE number 5519841
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| English | Large investor trading impacts on volatility |
scientific article; zbMATH DE number 5519841 |
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Large investor trading impacts on volatility (English)
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26 February 2009
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The paper is the beginning of a series devoted to a model that studies the influence of hedging on the dynamics of an asset. The authors consider the case of a ``large'' investor and solve two problems in the context of such a model. The first one is the question of the fair value (or liquidation value) of a ``large'' position. The second one is the question of pricing or hedging an option. Utility maximization approach and some new results in stochastic control theory are used.
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finance
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investment
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pricing
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hedging
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fair value
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stochastic control
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0.993472695350647
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0.8143386840820312
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0.813140332698822
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0.8064261674880981
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