Market impact: a systematic study of the high frequency options market

DOI10.1080/14697688.2020.1791948zbMath1476.91190arXiv1902.05418OpenAlexW3084367409MaRDI QIDQ5014173

Ahmed Bel Hadj Ayed, Frederic Abergel, Damien Thillou, Emilio Said, Jean-Jacques Rabeyrin

Publication date: 1 December 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.05418

zbMATH Keywords

implied volatilitymarket microstructuremarket impactlimit ordershigh frequencyfair pricingoptions marketautomated tradingstatistical finance

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial markets (91G15)

Cites Work

• Option pricing with linear market impact and nonlinear Black-Scholes equations
• How efficiency shapes market impact
• Hedging of Covered Options with Linear Market Impact and Gamma Constraint
• Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders

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