Large traders and illiquid options: hedging vs. manipulation

DOI10.1016/J.JEDC.2011.06.001MaRDI QIDQ658638zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• scientific article; zbMATH DE number 5529013 (Why is no real title available?)
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
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• Continuous dependence estimates for viscosity solutions of fully nonlinear degenerate parabolic equations
• Dynamic trading policies with price impact
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• Hedging options for a large investor and forward-backward SDE's
• Liquidity risk and arbitrage pricing theory
• MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
• Market volatility and feedback effects from dynamic hedging
• Optimal consumption choices for a `large' investor
• Optimal investment in incomplete markets when wealth may become negative.
• Optimal liquidation strategies and their implications
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio choice under transitory price impact
• Stochastic finance. An introduction in discrete time
• User’s guide to viscosity solutions of second order partial differential equations
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION

Cited in

(13)

• scientific article; zbMATH DE number 1867106 (Why is no real title available?)
• 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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