Mathematical Models for Stock Pinning near Option Expiration Dates-Reference-Cited by-同舟云学术

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Mathematical Models for Stock Pinning near Option Expiration Dates

Published:2012-04-25 Issue:7 Volume:65 Page:949-974
ISSN:0010-3640
Container-title:Communications on Pure and Applied Mathematics
language:en
Short-container-title:Comm. Pure Appl. Math.

Author:

Avellaneda Marco,Kasyan Gennady,Lipkin Michael D.

Publisher

Wiley

Subject

Applied Mathematics,General Mathematics

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/cpa.21404/fullpdf

Reference10 articles.

1. A market-induced mechanism for stock pinning;Avellaneda;Quant. Finance,2003

2. Power laws in economics and finance;Gabaix;Annual Review of Economics,2009

3. Model stock pinning;Jeannin;Quant. Finance,2008

4. The effect of stock pinning on option prices;Krishnan;RISK Magazine,2001

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1. High-Frequency Liquidity in the Chinese Stock Market: Measurements, Patterns, and Determinants;2024

2. In memoriam: Marco Avellaneda (1955–2022);Mathematical Finance;2023-01

3. High-Frequency Liquidity in the Chinese Stock Market: Measurements, Patterns, and Determinants;SSRN Electronic Journal;2022

4. Option pricing models without probability: a rough paths approach;Mathematical Finance;2021-05-05

5. Discounted Optimal Stopping of a Brownian Bridge, with Application to American Options under Pinning;Mathematics;2020-07-15

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