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dc.contributor.authorLasry, Jean-Michel
dc.contributor.authorLions, Pierre-Louis
dc.date.accessioned2012-02-23T10:36:57Z
dc.date.available2012-02-23T10:36:57Z
dc.date.issued2007
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/8227
dc.language.isoenen
dc.subjectLiquidation valueen
dc.subjectUtility pricingen
dc.subjectLarge investor impacten
dc.subjectStochastic controlen
dc.subject.ddc332en
dc.subject.classificationjelD46en
dc.subject.classificationjelC44en
dc.titleLarge investor trading impacts on volatilityen
dc.typeCommunication / Conférence
dc.description.abstractenThis 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.en
dc.identifier.citationpages173-190
dc.relation.ispartofseriestitleLecture Notes in Mathematics
dc.relation.ispartofseriesnumber1919
dc.relation.ispartoftitleParis-Princeton Lectures on Mathematical Finance 2004
dc.relation.ispartofeditorTaflin, Erik
dc.relation.ispartofeditorPham, Huyen
dc.relation.ispartofeditorLions, Pierre-Louis
dc.relation.ispartofeditorLasry, Jean-Michel
dc.relation.ispartofeditorKohatsu-Higa, Arturo
dc.relation.ispartofeditorEkeland, Ivar
dc.relation.ispartofeditorCarmona, René
dc.relation.ispartofpublnameSpringer
dc.relation.ispartofpublcityBerlin
dc.relation.ispartofdate2007
dc.relation.ispartofurlhttp://dx.doi.org/10.1007/978-3-540-73327-0
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.ispartofisbn978-3-540-73326-3
dc.identifier.doihttp://dx.doi.org/10.1007/978-3-540-73327-0_4


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