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Derivative Security Markets, Market Manipulation, and Option Pricing Theory

In: Financial Derivatives Pricing Selected Works of Robert Jarrow

Citations

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Cited by:

  1. Robert Jarrow, 2018. "Asset market equilibrium with liquidity risk," Annals of Finance, Springer, vol. 14(2), pages 253-288, May.
  2. Curatola, Giuliano, 2022. "Price impact, strategic interaction and portfolio choice," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  3. David German & Henry Schellhorn, 2012. "A No-Arbitrage Model of Liquidity in Financial Markets involving Brownian Sheets," Papers 1206.4804, arXiv.org.
  4. Peter Bank & Dietmar Baum, 2004. "Hedging and Portfolio Optimization in Financial Markets with a Large Trader," Mathematical Finance, Wiley Blackwell, vol. 14(1), pages 1-18, January.
  5. Robert A. Jarrow, 2015. "Asset Price Bubbles," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 201-218, December.
  6. Hugues Dastarac, 2021. "Strategic Trading, Welfare and Prices with Futures Contracts," Working papers 841, Banque de France.
  7. Hauser, Shmuel & Kedar-Levy, Haim & Milo, Orit, 2022. "Price discovery during parallel stocks and options preopening: Information distortion and hints of manipulation," Journal of Financial Markets, Elsevier, vol. 59(PA).
  8. 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.
  9. Cuoco, Domenico & Cvitanic, Jaksa, 1998. "Optimal consumption choices for a 'large' investor," Journal of Economic Dynamics and Control, Elsevier, vol. 22(3), pages 401-436, March.
  10. Suhan Altay & Katia Colaneri & Zehra Eksi, 2017. "Portfolio optimization for a large investor controlling market sentiment under partial information," Papers 1706.03567, arXiv.org.
  11. Eckhard Platen & Martin Schweizer, 1998. "On Feedback Effects from Hedging Derivatives," Mathematical Finance, Wiley Blackwell, vol. 8(1), pages 67-84, January.
  12. Wolfgang Bühler & Alexander Kempf, 1998. "Optionsbewertung bei endogenem Preis des Basisinstruments: Der Fall der Glattstellungsoption," Schmalenbach Journal of Business Research, Springer, vol. 50(5), pages 411-435, May.
  13. Allen, Franklin & Haas, Marlene D. & Nowak, Eric & Tengulov, Angel, 2021. "Market efficiency and limits to arbitrage: Evidence from the Volkswagen short squeeze," Journal of Financial Economics, Elsevier, vol. 142(1), pages 166-194.
  14. Chester Spatt, 2014. "Security Market Manipulation," Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 405-418, December.
  15. Jose Cruz & Maria Grossinho & Daniel Sevcovic & Cyril Izuchukwu Udeani, 2022. "Linear and Nonlinear Partial Integro-Differential Equations arising from Finance," Papers 2207.11568, arXiv.org.
  16. Jarrow, Robert & Protter, Philip, 2005. "Large traders, hidden arbitrage, and complete markets," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2803-2820, November.
  17. Ahmet Umur Ozsoy & Omur Uu{g}ur, 2023. "The QLBS Model within the presence of feedback loops through the impacts of a large trader," Papers 2311.06790, arXiv.org.
  18. Salvatore Federico & Paul Gassiat, 2014. "Viscosity Characterization of the Value Function of an Investment-Consumption Problem in Presence of an Illiquid Asset," Journal of Optimization Theory and Applications, Springer, vol. 160(3), pages 966-991, March.
  19. Sofia Johan, 2008. "Global Market Surveillance," American Law and Economics Review, American Law and Economics Association, vol. 10(2), pages 454-506.
  20. 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.
  21. Owen Lamont, 2004. "Go Down Fighting: Short Sellers vs. Firms," NBER Working Papers 10659, National Bureau of Economic Research, Inc.
  22. Soner, H. Mete & Cetin, Umut & Touzi, Nizar, 2010. "Option hedging for small investors under liquidity costs," LSE Research Online Documents on Economics 28992, London School of Economics and Political Science, LSE Library.
  23. Michail Anthropelos & Scott Robertson & Konstantinos Spiliopoulos, 2021. "Optimal investment, derivative demand, and arbitrage under price impact," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 3-35, January.
  24. Ledgerwood Shaun D. & Carpenter Paul R., 2012. "A Framework for the Analysis of Market Manipulation," Review of Law & Economics, De Gruyter, vol. 8(1), pages 253-295, September.
  25. K. Ronnie Sircar & George Papanicolaou, 1998. "General Black-Scholes models accounting for increased market volatility from hedging strategies," Applied Mathematical Finance, Taylor & Francis Journals, vol. 5(1), pages 45-82.
  26. Ludovic Mathys, 2019. "Valuing Tradeability in Exponential L\'evy Models," Papers 1912.00469, arXiv.org, revised Feb 2020.
  27. Cumming, Douglas & Dannhauser, Robert & Johan, Sofia, 2015. "Financial market misconduct and agency conflicts: A synthesis and future directions," Journal of Corporate Finance, Elsevier, vol. 34(C), pages 150-168.
  28. Aïd, René & Callegaro, Giorgia & Campi, Luciano, 2020. "No-arbitrage commodity option pricing with market manipulation," LSE Research Online Documents on Economics 103815, London School of Economics and Political Science, LSE Library.
  29. Michael Gallmeyer & Duane Seppi, "undated". "Derivative Security Induced Price Manipulation," GSIA Working Papers 2000-E41, Carnegie Mellon University, Tepper School of Business.
  30. Erindi Allaj, 2017. "Implicit Transaction Costs And The Fundamental Theorems Of Asset Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(04), pages 1-39, June.
  31. Röthig, Andreas, 2004. "Currency futures and currency crises," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 4022, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
  32. Aitken, Michael & Cumming, Douglas & Zhan, Feng, 2015. "Exchange trading rules, surveillance and suspected insider trading," Journal of Corporate Finance, Elsevier, vol. 34(C), pages 311-330.
  33. Kraft, Holger & Kühn, Christoph, 2011. "Large traders and illiquid options: Hedging vs. manipulation," Journal of Economic Dynamics and Control, Elsevier, vol. 35(11), pages 1898-1915.
  34. Michail Anthropelos & Scott Robertson & Konstantinos Spiliopoulos, 2018. "Optimal Investment, Demand and Arbitrage under Price Impact," Papers 1804.09151, arXiv.org, revised Dec 2018.
  35. RØdiger Frey, 1998. "Perfect option hedging for a large trader," Finance and Stochastics, Springer, vol. 2(2), pages 115-141.
  36. Elettra Agliardi & Rainer Andergassen, 2007. "(S,S)-Adjustment Strategies And Dynamic Hedging," Working Paper series 09_07, Rimini Centre for Economic Analysis.
  37. Chung, San-Lin & Liu, Wen-Rang & Tsai, Wei-Che, 2014. "The impact of derivatives hedging on the stock market: Evidence from Taiwan’s covered warrants market," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 123-133.
  38. 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.
  39. Tālis J. Putniņš, 2012. "Market Manipulation: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 26(5), pages 952-967, December.
  40. Ku, Hyejin & Lee, Kiseop & Zhu, Huaiping, 2012. "Discrete time hedging with liquidity risk," Finance Research Letters, Elsevier, vol. 9(3), pages 135-143.
  41. 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.
  42. Kadıoğlu, Eyüp & Frömmel, Michael, 2022. "Manipulation in the bond market and the role of investment funds: Evidence from an emerging market," International Review of Financial Analysis, Elsevier, vol. 79(C).
  43. Horst, Ulrich & Naujokat, Felix, 2010. "Illiquidity and derivative valuation," SFB 649 Discussion Papers 2010-011, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  44. Andreas Röthig, 2009. "Microeconomic Risk Management and Macroeconomic Stability," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-642-01565-6, July.
  45. Lee, Eun Jung & Eom, Kyong Shik & Park, Kyung Suh, 2013. "Microstructure-based manipulation: Strategic behavior and performance of spoofing traders," Journal of Financial Markets, Elsevier, vol. 16(2), pages 227-252.
  46. Sang-Hyeon Park & Kiseop Lee, 2020. "Hedging with Liquidity Risk under CEV Diffusion," Risks, MDPI, vol. 8(2), pages 1-12, June.
  47. Ren'e Aid & Giorgia Callegaro & Luciano Campi, 2019. "No-Arbitrage Commodity Option Pricing with Market Manipulation," Papers 1909.07896, arXiv.org, revised Mar 2020.
  48. Owen Lamont, 2004. "Go Down Fighting: Short Sellers vs. Firms," NBER Working Papers 10659, National Bureau of Economic Research, Inc.
  49. Sergey Lototsky & Henry Schellhorn & Ran Zhao, 2016. "A String Model of Liquidity in Financial Markets," Papers 1608.05900, arXiv.org, revised Apr 2018.
  50. Clarence Simard & Bruno Rémillard, 2019. "Pricing European Options in a Discrete Time Model for the Limit Order Book," Methodology and Computing in Applied Probability, Springer, vol. 21(3), pages 985-1005, September.
  51. Alexandre Roch, 2011. "Liquidity risk, price impacts and the replication problem," Finance and Stochastics, Springer, vol. 15(3), pages 399-419, September.
  52. Marija Corluka & Edwin O. Fischer, 2014. "Forensic Finance: Market Abuse and Price Manipulation in Security Markets on the Trail," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 6(2), pages 047-067, December.
  53. Rüdiger Frey & Alexander Stremme, 1997. "Market Volatility and Feedback Effects from Dynamic Hedging," Mathematical Finance, Wiley Blackwell, vol. 7(4), pages 351-374, October.
  54. Ulrich Horst & Felix Naujokat, 2008. "Illiquidity and Derivative Valuation," Papers 0901.0091, arXiv.org.
  55. Kaj Nystrom & Mikko Parviainen, 2014. "Tug-of-war, market manipulation and option pricing," Papers 1410.1664, arXiv.org.
  56. Umut Çetin & L. C. G. Rogers, 2007. "Modeling Liquidity Effects In Discrete Time," Mathematical Finance, Wiley Blackwell, vol. 17(1), pages 15-29, January.
  57. Mattias Jonsson & Jussi Keppo, 2002. "Option pricing for large agents," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(4), pages 261-272.
  58. Carole Comerton-Forde & Tālis J. Putniņš, 2014. "Stock Price Manipulation: Prevalence and Determinants," Review of Finance, European Finance Association, vol. 18(1), pages 23-66.
  59. Aitken, Michael & Cumming, Douglas & Zhan, Feng, 2013. "Exchange trading rules, surveillance and insider trading," CFS Working Paper Series 2013/15, Center for Financial Studies (CFS).
  60. Röthig, Andreas, 2004. "Currency Futures and Currency Crises," Darmstadt Discussion Papers in Economics 136, Darmstadt University of Technology, Department of Law and Economics.
  61. Robert Jarrow & Scott Fung & Shih-Chuan Tsai, 2018. "An empirical investigation of large trader market manipulation in derivatives markets," Review of Derivatives Research, Springer, vol. 21(3), pages 331-374, October.
  62. Kristoffer Glover & Peter W Duck & David P Newton, 2010. "On nonlinear models of markets with finite liquidity: Some cautionary notes," Published Paper Series 2010-5, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  63. Dev, Pritha, 2013. "Transfer of information by an informed trader," Finance Research Letters, Elsevier, vol. 10(2), pages 58-71.
  64. Brøgger, Søren Bundgaard, 2022. "Dynamic risk management and asset comovement," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 60-77.
  65. Alexandre F. Roch, 2008. "Liquidity Risk, Price Impacts and the Replication Problem," Papers 0812.2440, arXiv.org, revised Dec 2009.
  66. João Amaro De Matos & João Sobral Do Rosário, 2002. "Market Power And Feedback Effects From Hedging Derivatives," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 5(08), pages 845-875.
  67. Umut Çetin & H. Soner & Nizar Touzi, 2010. "Option hedging for small investors under liquidity costs," Finance and Stochastics, Springer, vol. 14(3), pages 317-341, September.
  68. Corbet, Shaen & Katsiampa, Paraskevi, 2020. "Asymmetric mean reversion of Bitcoin price returns," International Review of Financial Analysis, Elsevier, vol. 71(C).
  69. repec:grz:wpsses:2012-04 is not listed on IDEAS
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