Large investor trading impacts on volatility

Pierre-Louis Lions; Jean-Michel Lasry

Annales de l'I.H.P. Analyse non linéaire (2007)

  • Volume: 24, Issue: 2, page 311-323
  • ISSN: 0294-1449

How to cite

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Lions, Pierre-Louis, and Lasry, Jean-Michel. "Large investor trading impacts on volatility." Annales de l'I.H.P. Analyse non linéaire 24.2 (2007): 311-323. <http://eudml.org/doc/78736>.

@article{Lions2007,
author = {Lions, Pierre-Louis, Lasry, Jean-Michel},
journal = {Annales de l'I.H.P. Analyse non linéaire},
keywords = {finance; investment; pricing; hedging; fair value; stochastic control},
language = {eng},
number = {2},
pages = {311-323},
publisher = {Elsevier},
title = {Large investor trading impacts on volatility},
url = {http://eudml.org/doc/78736},
volume = {24},
year = {2007},
}

TY - JOUR
AU - Lions, Pierre-Louis
AU - Lasry, Jean-Michel
TI - Large investor trading impacts on volatility
JO - Annales de l'I.H.P. Analyse non linéaire
PY - 2007
PB - Elsevier
VL - 24
IS - 2
SP - 311
EP - 323
LA - eng
KW - finance; investment; pricing; hedging; fair value; stochastic control
UR - http://eudml.org/doc/78736
ER -

References

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  1. [1] M. Avellaneda, M.D. Lipkin, A market induced mechanism for stock pinning, Preprint. Zbl1242.91182MR2026569
  2. [2] Back K., Insider trading in continuous time, Review of Financial Studies5 (1992) 387-409. 
  3. [3] Back K., Cao C.H., Willard G., Imperfect condition among informed traders, J. FinanceLV (2000) 2117-2155. 
  4. [4] Bardi M., Capuzzo-Dolcetta I., Optimal Control and Viscosity Solutions of Hamilton–Jacobi–Bellman Equations, Birkhäuser, Boston, 1997. Zbl0890.49011
  5. [5] Black F., Scholes M., The pricing of options and corporate liabilities, J. Political Economy81 (1973) 637-659. Zbl1092.91524
  6. [6] Constantinides G., Zariphopoulou Th., Bounds on prices of continnent claims in an intertemporal economy with proportional transaction costs and general preferences, Finance Stoch.3 (1999) 345-369. Zbl0935.91014MR1842289
  7. [7] Fleming W.H., Soner M.H., Controlled Markow Processes and Viscosity Solutions, Springer, Berlin, 1993. Zbl0773.60070MR1199811
  8. [8] Föllmer H., Stock price fluctuation as a diffusion in a random environment, in: Howison S.D., Kelly F.P., Wilmott P. (Eds.), Mathematical Models in Finance, Chapman & Hall, London, 1995. Zbl0854.90012MR1397064
  9. [9] R. Frey, A. Stremme, Portfolio insurance and volatility, Department of Economics, Univ. of Bonn, Discussion paper B-256. 
  10. [10] Kyle A.S., Continuous auctions and insider trading, Econometrica53 (1985) 1315-1335. Zbl0571.90010
  11. [11] J.-M. Lasry, P.-L. Lions, Towards a self-consistent theory of volatility, Preprint. Zbl1127.91027MR2281452
  12. [12] Lasry J.-M., Lions P.-L., Une classe nouvelle de problèmes singuliers de contrôle stochastique, C. R. Acad. Sci. Paris, Ser. I331 (2000) 879-885. Zbl0971.49015MR1806426
  13. [13] Lasserre G., Asymmetric information and imperfect competition in a continuous time multivariate security model, Finance and Stochastics8 (2004) 285-309. Zbl1060.91092MR2048832
  14. [14] Merton R., Theory of rational option pricing, Bull. J. Econom. Manag. Sci.4 (1973) 141-183. Zbl1257.91043MR496534
  15. [15] M. Musiela, Th. Zariphopoulou, Indifference prices and related measures, Preprint. 

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