Hedging of American options in illiquid markets with price impacts

DOI10.1142/S0219024922500017zbMATH Open1484.91489OpenAlexW4207027300MaRDI QIDQ5066293FDOQ5066293

Authors: Alexandre Roch 

Publication date: 29 March 2022

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024922500017

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zbMATH Keywords

American optionshedgingliquidity riskprice impactsprice manipulation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40) Robustness in mathematical programming (90C17)

Cites Work

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• On controller-stopper problems with jumps and their applications to indifference pricing of American options
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• Nonzero-sum stochastic differential games between an impulse controller and a stopper
• On derivatives with illiquid underlying and market manipulation
• Utility Maximization When Shorting American Options

Cited In (2)

• Hedging of American options under transaction costs
• Large traders and illiquid options: hedging vs. manipulation

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