Large investor trading impacts on volatility

@article{Lions2004LargeIT,
  title={Large investor trading impacts on volatility},
  author={P. Lions and J. Lasry},
  journal={Annales De L Institut Henri Poincare-analyse Non Lineaire},
  year={2004},
  volume={24},
  pages={311-323}
}
  • P. Lions, J. Lasry
  • Published 2004
  • Economics, Mathematics
  • Annales De L Institut Henri Poincare-analyse Non Lineaire
We begin with this paper a series devoted to a tentative model for the influence of hedging on the dynamics of an asset. We study here the case of a “large” investor and solve two problems in the context of such a model namely the question of the fair value (or liquidative value) of a “large” position and the question of pricing or hedging an option. In order to do so, we use a utility maximization approach and some new results in stochastic control theory. 
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