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

pinning effecthedging strategiesmicrostrucutre modeling

Mathematics Subject Classification ID

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Cites work

• Analyzing and modeling 1+1d markets
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• Perfect option hedging for a large trader
• The Feedback Effect of Hedging in Illiquid Markets

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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