Modeling stock pinning

DOI10.1080/14697680701881763MaRDI QIDQ3605241zbMATH OpenOpenAlexFDO

Authors Marc Jeannin, Giulia Iori, David A. Samuel

Publication date 23 February 2009

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680701881763

zbMATH Keywords

hedging strategiesmicrostrucutre modelingpinning effect

Mathematics Subject Classification ID

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Cites work

• Analyzing and modeling 1+1d markets
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• Myopic loss aversion and margin of safety: the risk of value investing
• On Feedback Effects from Hedging Derivatives
• Perfect option hedging for a large trader
• The Feedback Effect of Hedging in Illiquid Markets

Cited in

(8)

• Optimally stopping a Brownian bridge with an unknown pinning time: a Bayesian approach
• Optimal stopping of a Brownian bridge with an unknown pinning point
• Mathematical models for stock pinning near option expiration dates
• A market-induced mechanism for stock pinning
• Optimal stopping for the exponential of a Brownian bridge
• AN EQUILIBRIUM-BASED MODEL OF STOCK-PINNING
• Option pricing models without probability: a rough paths approach
• Gamma positioning and market quality

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