Modeling stock pinning

DOI10.1080/14697680701881763zbMATH Open1154.91453OpenAlexW3125905086MaRDI QIDQ3605241FDOQ3605241

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

Recommendations

• A market-induced mechanism for stock pinning
• AN EQUILIBRIUM-BASED MODEL OF STOCK-PINNING
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zbMATH Keywords

pinning effecthedging strategiesmicrostrucutre modeling

Mathematics Subject Classification ID

Cites Work

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

Cited In (7)

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

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