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Large traders, hidden arbitrage, and complete markets

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  • Jarrow, Robert
  • Protter, Philip

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 29 (2005)
Issue (Month): 11 (November)
Pages: 2803-2820

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Handle: RePEc:eee:jbfina:v:29:y:2005:i:11:p:2803-2820

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References

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  1. Cuoco, Domenico & Cvitanic, Jaksa, 1998. "Optimal consumption choices for a 'large' investor," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 22(3), pages 401-436, March.
  2. Jarrow, Robert A., 1994. "Derivative Security Markets, Market Manipulation, and Option Pricing Theory," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 29(02), pages 241-261, June.
  3. Protter, Philip, 2001. "A partial introduction to financial asset pricing theory," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 91(2), pages 169-203, February.
  4. Rüdiger Frey & Alexander Stremme, 1997. "Market Volatility and Feedback Effects from Dynamic Hedging," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 7(4), pages 351-374.
  5. 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.
  6. Blake LeBaron, 1994. "Technical Trading Rule Profitability and Foreign Exchange Intervention," International Finance, EconWPA 9411002, EconWPA.
  7. Francesca Cornelli & David Goldreich, 2003. "Bookbuilding: How Informative Is the Order Book?," Journal of Finance, American Finance Association, American Finance Association, vol. 58(4), pages 1415-1443, 08.
  8. E. Platen & M. Schweizer, 1997. "On Feedback Effects from Hedging Derivatives," SFB 373 Discussion Papers 1997,83, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  9. Jarrow, Robert A., 1992. "Market Manipulation, Bubbles, Corners, and Short Squeezes," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 27(03), pages 311-336, September.
  10. RØdiger Frey, 1998. "Perfect option hedging for a large trader," Finance and Stochastics, Springer, vol. 2(2), pages 115-141.
  11. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, Elsevier, vol. 20(3), pages 381-408, June.
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Cited by:
  1. Jarrow, Robert & Protter, Philip, 2012. "Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory," Finance Research Letters, Elsevier, Elsevier, vol. 9(2), pages 58-62.
  2. Claudio Fontana, 2013. "Weak and strong no-arbitrage conditions for continuous financial markets," Papers 1302.7192, arXiv.org, revised May 2014.

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