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Large investor trading impacts on volatility

Lasry, Jean-Michel; Lions, Pierre-Louis (2007), Large investor trading impacts on volatility, Annales de l'Institut Henri Poincaré. Analyse non linéaire, 24, 2, p. 311-323. http://dx.doi.org/10.1016/j.anihpc.2005.12.006

Type
Article accepté pour publication ou publié
Date
2007
Journal name
Annales de l'Institut Henri Poincaré. Analyse non linéaire
Volume
24
Number
2
Publisher
Elsevier
Pages
311-323
Publication identifier
http://dx.doi.org/10.1016/j.anihpc.2005.12.006
Metadata
Show full item record
Author(s)
Lasry, Jean-Michel
Lions, Pierre-Louis
Abstract (EN)
We begin with this paper a series devoted to a tentative model for the influence of hedging on the dynamics of an asset. We study here the case of a “large” investor and solve two problems in the context of such a model namely the question of the fair value (or liquidative value) of a “large” position and the question of pricing or hedging an option. In order to do so, we use a utility maximization approach and some new results in stochastic control theory.
Subjects / Keywords
utility maximization approach; stochastic control theory; hedging; dynamics of an asset
JEL
G1 - General Financial Markets

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