Large traders and illiquid options: hedging vs. manipulation
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Publication:658638
DOI10.1016/J.JEDC.2011.06.001zbMATH Open1282.91336OpenAlexW3124680661MaRDI QIDQ658638FDOQ658638
Authors: Holger Kraft, Christoph Kühn 
Publication date: 13 January 2012
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2011.06.001
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
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Cited In (13)
- Title not available (Why is that?)
- Optimal consumption and investment for a large investor: an intensity-based control framework
- Influence of big traders on the stock market: theory and simulation
- On derivatives with illiquid underlying and market manipulation
- Inconspicuousness and obfuscation: how large shareholders dynamically manipulate output and information for trading purposes
- Nash equilibria for relative investors with (non)linear price impact
- Portfolio optimization for a large investor controlling market sentiment under partial information
- No-arbitrage commodity option pricing with market manipulation
- Perfect option hedging for a large trader
- Hedging of American options in illiquid markets with price impacts
- Large Investor Trading Impacts on Volatility
- Portfolio optimization for a large investor under partial information and price impact
- American options in an imperfect complete market with default
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