Large investor trading impacts on volatility
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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.
Recommendations
- Large Investor Trading Impacts on Volatility
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- Option pricing for a large trader with price impact and liquidity costs
- Pricing in an equilibrium based model for a large investor
- A model for a large investor trading at market indifference prices. I: Single-period case
Cites work
- Asymmetric information and imperfect competition in a continuous time multivariate security model
- Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
- Continuous Auctions and Insider Trading
- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- scientific article; zbMATH DE number 912563 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- Market volatility and feedback effects from dynamic hedging
- Mathematical models for stock pinning near option expiration dates
- Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
- The pricing of options and corporate liabilities
- Towards a self-consistent theory of volatility
- Une classe nouvelle de problèmes singuliers de contrôle stochastique
Cited in
(25)- Financial markets with a large trader
- Total reward semi-Markov mean-field games with complementarity properties
- Homogenization of the backward-forward mean-field games systems in periodic environments
- Asymptotics for a symmetric equation in price formation
- On a class of singular stochastic control problems driven by Lévy noise
- A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations
- Instantaneous self-fulfilling of long-term prophecies on the probabilistic distribution of financial asset values
- Institutional Investors and Stock Market Volatility
- ON A PARABOLIC FREE BOUNDARY EQUATION MODELING PRICE FORMATION
- Optimal transport and large number of particles
- Large Investors, takeovers, and the rule of law
- Existence of a solution to an equation arising from the theory of mean field games
- Controlled Markov chains with non-exponential discounting and distribution-dependent costs
- Mean reflected stochastic differential equations with jumps
- AN EQUILIBRIUM-BASED MODEL OF STOCK-PINNING
- Large Investor Trading Impacts on Volatility
- Some recent aspects of differential game theory
- Large stock price changes: volume or liquidity?
- Closed-Loop Equilibrium for Time-Inconsistent McKean--Vlasov Controlled Problem
- Pareto efficiency of finite-horizon mean-field cooperative stochastic differential games with Poisson jumps
- Non-negative low-rank approximations for multi-dimensional arrays on statistical manifold
- Multiple-population discrete-time mean field games with discounted and total payoffs: the existence of equilibria
- Mean-field stochastic differential equations driven by G-Brownian motion
- A model for a large investor trading at market indifference prices. II: Continuous-time case.
- Towards a self-consistent theory of volatility
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