Feedback effects of dynamic hedging strategies in the presence of transaction costs
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References listed on IDEAS
- Ricardo J. Caballero & Eduardo M. R. A. Engel, 1993.
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- Ricardo J. Caballero & Eduardo M.R.A. Engel, 1992. "Microeconomic Adjustment Hazards and Aggregate Dynamics," NBER Working Papers 4090, National Bureau of Economic Research, Inc.
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- Rüdiger Frey & Alexander Stremme, 1997. "Market Volatility and Feedback Effects from Dynamic Hedging," Mathematical Finance, Wiley Blackwell, vol. 7(4), pages 351-374.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-04-29 (All new papers)
- NEP-FIN-2003-02-03 (Finance)
- NEP-FMK-2003-02-03 (Financial Markets)
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