Option pricing for large agents
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References listed on IDEAS
- Kreps, David M., 1981. "Arbitrage and equilibrium in economies with infinitely many commodities," Journal of Mathematical Economics, Elsevier, vol. 8(1), pages 15-35, March.
- Robert A. Jarrow, 2008.
"Derivative Security Markets, Market Manipulation, and Option Pricing Theory,"
World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 7, pages 131-151
World Scientific Publishing Co. Pte. Ltd..
- Jarrow, Robert A., 1994. "Derivative Security Markets, Market Manipulation, and Option Pricing Theory," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(02), pages 241-261, June.
- Jouini, Elyes & Kallal, Hedi, 1993. "General equilibrium with producers and brokers : Existence and regularity," Economics Letters, Elsevier, vol. 41(3), pages 257-263.
- RØdiger Frey, 1998. "Perfect option hedging for a large trader," Finance and Stochastics, Springer, vol. 2(2), pages 115-141.
- Platen, Eckhard & Martin Schweizer, 1994. "On Smile and Skewness," Discussion Paper Serie B 302, University of Bonn, Germany.
- repec:dau:papers:123456789/5640 is not listed on IDEAS
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Suhas Nayak & George Papanicolaou, 2008. "Market Influence of Portfolio Optimizers," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(1), pages 21-40.
- Erhan Bayraktar & Ulrich Horst & Ronnie Sircar, 2007. "Queueing Theoretic Approaches to Financial Price Fluctuations," Papers math/0703832, arXiv.org.
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