Option pricing for large agents
From MaRDI portal
Recommendations
- Option pricing for a large trader with price impact and liquidity costs
- scientific article; zbMATH DE number 1897411
- Option Pricing
- Option pricing in the large risk aversion, small transaction cost limit
- Option pricing by large risk aversion utility under transaction costs
- Computational Methods for Option Pricing
- APPROXIMATING OPTION PRICES UNDER LARGE CHANGES OF UNDERLYING ASSET PRICES
- Application of large deviation methods to the pricing of index options in finance.
- scientific article; zbMATH DE number 796442
Cites work
- Arbitrage and equilibrium in economies with infinitely many commodities
- General Black-Scholes models accounting for increased market volatility from hedging strategies
- Hedging options for a large investor and forward-backward SDE's
- scientific article; zbMATH DE number 3875781 (Why is no real title available?)
- scientific article; zbMATH DE number 1181255 (Why is no real title available?)
- Martingales and stochastic integrals in the theory of continuous trading
- Multiperiod security markets with differential information
- Perfect option hedging for a large trader
- The Feedback Effect of Hedging in Illiquid Markets
Cited in
(6)- Lie symmetry reductions and exact solutions of an option-pricing equation for large agents
- A feedback model for the financialization of commodity markets
- Market Influence of Portfolio Optimizers
- Partial hedging in financial markets with a large agent
- AN EQUILIBRIUM-BASED MODEL OF STOCK-PINNING
- Price taking behavior and trading in options
This page was built for publication: Option pricing for large agents
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4483613)
