Hedging of American options in illiquid markets with price impacts

DOI10.1142/S0219024922500017MaRDI QIDQ5066293zbMATHOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• BSDEs with two reflecting barriers: the general result
• Continuous Auctions and Insider Trading
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• Liquidity risk and arbitrage pricing theory
• Liquidity risk, price impacts and the replication problem
• Nonzero-sum stochastic differential games between an impulse controller and a stopper
• Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications
• On Feedback Effects from Hedging Derivatives
• On controller-stopper problems with jumps and their applications to indifference pricing of American options
• On derivatives with illiquid underlying and market manipulation
• On the multidimensional controller-and-stopper games
• Optimal investment in markets with over and under-reaction to information
• Option pricing with an illiquid underlying asset market
• Resilient price impact of trading and the cost of illiquidity
• Stochastic differential games involving impulse controls and double-obstacle quasi-variational inequalities
• Utility maximization when shorting American options
• Zero-sum Markov games with stopping and impulsive strategies
• Zero-sum stochastic differential game in finite horizon involving impulse controls

Cited in

(2)

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

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