منابع مشابه
Perfect option hedging for a large trader
Standard derivative pricing theory is based on the assumption of agents acting as price takers on the market for the underlying asset. We relax this hypothesis and study if and how a large agent whose trades move prices can replicate the payoff of a derivative security. Our analysis extends prior work of Jarrow to economies with continuous security trading. We characterize the solution to the h...
متن کاملPerfect Option Hedging for a Large Trader 1
Stremme and an anonymous referee for helpful remarks and comments. Financial support from the DFG, SFB 303 at the University of Bonn and from the Union Bank of Switzerland is gratefully acknowledged.
متن کاملOption pricing and perfect hedging on correlated stocks
We develop a theory for option pricing with perfect hedging in an inefficient market model where the underlying price variations are autocorrelated over a time τ ≥ 0. This is accomplished by assuming that the underlying noise in the system is derived by an Ornstein-Uhlenbeck, rather than from a Wiener process. With a modified portfolio consisting in calls, secondary calls and bonds we achieve a...
متن کاملOption pricing for a large trader with price impact and liquidity costs
Article history: Received 27 September 2016 Available online xxxx Submitted by A. Sulem
متن کاملHedging and Portfolio Optimization in Financial Markets with a Large Trader
We introduce a general continuous–time model for an illiquid financial market where the trades of a single large investor can move market prices. The model is specified in terms of parameter dependent semimartingales, and its mathematical analysis relies on the non–linear integration theory of such semimartingale families. The Itô–Wentzell formula is used to prove absence of arbitrage for the l...
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 1998
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s007800050035