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Derivative Security Markets, Market Manipulation, and Option Pricing Theory

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  • Jarrow, Robert A.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 29 (1994)
Issue (Month): 02 (June)
Pages: 241-261

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Handle: RePEc:cup:jfinqa:v:29:y:1994:i:02:p:241-261_00

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Cited by:
  1. Robert A. Jarrow, 1999. "In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World," Journal of Economic Perspectives, American Economic Association, vol. 13(4), pages 229-248, Fall.
  2. David German & Henry Schellhorn, 2012. "A No-Arbitrage Model of Liquidity in Financial Markets involving Brownian Sheets," Papers 1206.4804, arXiv.org.
  3. Nyborg, Kjell G. & Strebulaev, Ilya A., 2001. "Collateral and short squeezing of liquidity in fixed rate tenders," Journal of International Money and Finance, Elsevier, vol. 20(6), pages 769-792, November.
  4. Frey, Rüdiger & Alexander Stremme, 1995. "Market Volatility and Feedback Effects from Dynamic Hedging," Discussion Paper Serie B 310, University of Bonn, Germany.
  5. Frey, Rüdiger, 1997. "Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility," Discussion Paper Serie B 401, University of Bonn, Germany.
  6. Kalife, Aymeric, . "Portfolio Insurance Strategies by a Large Player," Open Access publications from Université Paris-Dauphine urn:hdl:123456789/2233, Université Paris-Dauphine.
  7. Röthig, Andreas, 2004. "Currency futures and currency crises," Publications of Darmstadt Technical University, Institute of Economics (VWL) 4022, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute of Economics (VWL).
  8. Sofia Johan, 2008. "Global Market Surveillance," American Law and Economics Review, Oxford University Press, vol. 10(2), pages 454-506.
  9. Owen Lamont, 2004. "Go Down Fighting: Short Seller vs. Firms," Yale School of Management Working Papers amz2521, Yale School of Management, revised 01 Aug 2004.
  10. Alexandre Roch, 2011. "Liquidity risk, price impacts and the replication problem," Finance and Stochastics, Springer, vol. 15(3), pages 399-419, September.
  11. Ulrich Horst & Felix Naujokat, 2008. "Illiquidity and Derivative Valuation," Papers 0901.0091, arXiv.org.
  12. Mattias Jonsson & Jussi Keppo, 2002. "Option pricing for large agents," Applied Mathematical Finance, Taylor and Francis Journals, vol. 9(4), pages 261-272.
  13. Frey, Rüdiger, 1996. "The Pricing and Hedging of Options in Finitely Elastic Markets," Discussion Paper Serie B 372, University of Bonn, Germany.
  14. Gill, Ryan & Lee, Kiseop & Song, Seongjoo, 2007. "Computation of estimates in segmented regression and a liquidity effect model," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6459-6475, August.
  15. K. Ronnie Sircar & George Papanicolaou, 1998. "General Black-Scholes models accounting for increased market volatility from hedging strategies," Applied Mathematical Finance, Taylor and Francis Journals, vol. 5(1), pages 45-82.
  16. Alexandre F. Roch, 2008. "Liquidity Risk, Price Impacts and the Replication Problem," Papers 0812.2440, arXiv.org, revised Dec 2009.
  17. Marija Corluka & Edwin O. Fischer, 2012. "Forensic Finance: Market Abuse and Price Manipulation in Security Markets on the Trail," Working Paper Series, Social and Economic Sciences 2012-04, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
  18. Cumming, Douglas & Johan, Sofia & Li, Dan, 2011. "Exchange trading rules and stock market liquidity," Journal of Financial Economics, Elsevier, vol. 99(3), pages 651-671, March.

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