On Feedback Effects from Hedging Derivatives
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Publication:4213033
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Cited in
(46)- Hedging costs for two large investors
- Option pricing for a logstable asset price model
- The cost of illiquidity and its effects on hedging
- Hedging in an illiquid binomial market
- The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability
- Symmetries and exact solutions of a nonlinear pricing options equation
- Calibration of a nonlinear feedback option pricing model
- Market Influence of Portfolio Optimizers
- On linear-autonomous symmetries of Guéant-Pu fractional model
- Modeling stock pinning
- Pricing in an equilibrium based model for a large investor
- A feedback model for the financialization of commodity markets
- Option pricing with an illiquid underlying asset market
- Liquidity in a binomial market
- PORTFOLIO INSURANCE AND VOLATILITY REGIME SWITCHING
- MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
- Option pricing with linear market impact and nonlinear Black-Scholes equations
- A model for a large investor trading at market indifference prices. I: Single-period case
- A model for a large investor trading at market indifference prices. II: Continuous-time case.
- High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation
- Arbitrage-free interval and dynamic hedging in an illiquid market
- Post-'87 crash fears in the S\&P 500 futures option market
- Numerical solution of linear and nonlinear Black-Scholes option pricing equations
- Trader Behavior and its Effect on Asset Price Dynamics
- HEDGING AND ARBITRAGE WARRANTS UNDER SMILE EFFECTS: ANALYSIS AND EVIDENCE
- Simulation of feedback effects for futures-style options pricing on Moscow exchange
- Market volatility and feedback effects from dynamic hedging
- Nonlinear feedback effects by hedging strategies
- An infinite-dimensional model of liquidity in financial markets
- Option pricing and hedging with execution costs and market impact
- Spline approximation method to solve an option pricing problem
- Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
- Option hedging for small investors under liquidity costs
- Hedging of American options in illiquid markets with price impacts
- Optimal investment, derivative demand, and arbitrage under price impact
- AN EQUILIBRIUM-BASED MODEL OF STOCK-PINNING
- Arbitrage and deflators in illiquid markets
- Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset
- Option pricing for a large trader with price impact and liquidity costs
- MARKET POWER AND FEEDBACK EFFECTS FROM HEDGING DERIVATIVES
- Group analysis of the Guéant and Pu model of option pricing and hedging
- Dilution, anti-dilution and corporate positions in options on the company's own stocks
- OPTION PRICING WITH FEEDBACK EFFECTS
- Technical trading and the volatility of exchange rates
- Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model
- A model of optimal portfolio selection under liquidity risk and price impact
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