Large Investor Trading Impacts on Volatility
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Publication:5435653
DOI10.1007/978-3-540-73327-0_4zbMath1153.91428OpenAlexW2626576912MaRDI QIDQ5435653
Jean-Michel Lasry, Pierre-Louis Lions
Publication date: 14 January 2008
Published in: Paris-Princeton Lectures on Mathematical Finance 2004 (Search for Journal in Brave)
Full work available at URL: http://www.numdam.org/item?id=AIHPC_2007__24_2_311_0/
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An optimal execution problem with market impact ⋮ An introduction to mean field game theory ⋮ A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL ⋮ Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders ⋮ ON A PARABOLIC FREE BOUNDARY EQUATION MODELING PRICE FORMATION
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