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Large investor trading impacts on volatility

Lasry, Jean-Michel; Lions, Pierre-Louis (2007), Large investor trading impacts on volatility, in Taflin, Erik; Pham, Huyen; Lions, Pierre-Louis; Lasry, Jean-Michel; Kohatsu-Higa, Arturo; Ekeland, Ivar; Carmona, René, Paris-Princeton Lectures on Mathematical Finance 2004, Springer : Berlin, p. 173-190. http://dx.doi.org/10.1007/978-3-540-73327-0_4

Type
Communication / Conférence
Date
2007
Book title
Paris-Princeton Lectures on Mathematical Finance 2004
Book author
Taflin, Erik; Pham, Huyen; Lions, Pierre-Louis; Lasry, Jean-Michel; Kohatsu-Higa, Arturo; Ekeland, Ivar; Carmona, René
Publisher
Springer
Series title
Lecture Notes in Mathematics
Series number
1919
Published in
Berlin
ISBN
978-3-540-73326-3
Pages
173-190
Publication identifier
http://dx.doi.org/10.1007/978-3-540-73327-0_4
Metadata
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Author(s)
Lasry, Jean-Michel
Lions, Pierre-Louis
Abstract (EN)
This is the first paper in 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: the question of the fair value (or liquidation 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
Liquidation value; Utility pricing; Large investor impact; Stochastic control
JEL
D46 - Value Theory
C44 - Operations Research; Statistical Decision Theory

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