Articlebronze2006

Large investor trading impacts on volatility

48 citations0/0 files storedAnnales de l Institut Henri Poincaré C Analyse Non Linéaire

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

Abstract

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.

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References

1973The Pricing of Options and Corporate Liabilities 1985Continuous Auctions and Insider Trading 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 2005Controlled Markov Processes and Viscosity Solutions 1992Insider Trading in Continuous Time 2000Imperfect Competition among Informed Traders 1999Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences

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2015A cubature based algorithm to solve decoupled McKean–Vlasov forward–backward stochastic differential equations

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