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Market Volatility and Feedback Effects from Dynamic Hedging
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  • 1998General Black-Scholes models accounting for increased market volatility from hedging strategies161 cited
  • 2008On the numerical solution of nonlinear Black–Scholes equations155 cited
  • 2000The Feedback Effect of Hedging in Illiquid Markets153 cited
  • 2013Dynamical Models of Market Impact and Algorithms for Order Execution140 cited
  • 1998Volatility misspecification, option pricing and superreplication via coupling136 cited
  • 2010THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING128 cited
  • 2016Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?97 cited
  • 2006MODELING LIQUIDITY EFFECTS IN DISCRETE TIME97 cited
  • 2002Risk Management for Derivatives in Illiquid Markets: A Simulation Study93 cited
  • 2012Finite-Element Methods46 cited
  • 2011Analytical and Numerical Methods for Pricing Financial Derivatives46 cited
  • 2007EXPLICIT SOLUTIONS FOR A NONLINEAR MODEL OF FINANCIAL DERIVATIVES44 cited
  • 2005Matched Asymptotic Expansions in Financial Engineering44 cited
  • 2009Numerical Methods for Non-Linear Black–Scholes Equations43 cited
  • 2004

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Dynamic programming and mean‐variance hedging in discrete time
43 cited
  • 2012Endogenous Extreme Events and the Dual Role of Prices42 cited