Large investor trading impacts on volatility
Annales de l'I.H.P. Analyse non linéaire, Volume 24 (2007) no. 2, p. 311-323
@article{AIHPC_2007__24_2_311_0,
     author = {Lions, Pierre-Louis and Lasry, Jean-Michel},
     title = {Large investor trading impacts on volatility},
     journal = {Annales de l'I.H.P. Analyse non lin\'eaire},
     publisher = {Elsevier},
     volume = {24},
     number = {2},
     year = {2007},
     pages = {311-323},
     doi = {10.1016/j.anihpc.2005.12.006},
     mrnumber = {2310697},
     language = {en},
     url = {http://www.numdam.org/item/AIHPC_2007__24_2_311_0}
}
Lions, Pierre-Louis; Lasry, Jean-Michel. Large investor trading impacts on volatility. Annales de l'I.H.P. Analyse non linéaire, Volume 24 (2007) no. 2, pp. 311-323. doi : 10.1016/j.anihpc.2005.12.006. http://www.numdam.org/item/AIHPC_2007__24_2_311_0/

[1] M. Avellaneda, M.D. Lipkin, A market induced mechanism for stock pinning, Preprint. | MR 2026569

[2] Back K., Insider trading in continuous time, Review of Financial Studies 5 (1992) 387-409.

[3] Back K., Cao C.H., Willard G., Imperfect condition among informed traders, J. Finance LV (2000) 2117-2155.

[4] Bardi M., Capuzzo-Dolcetta I., Optimal Control and Viscosity Solutions of Hamilton-Jacobi-Bellman Equations, Birkhäuser, Boston, 1997. | Zbl 0890.49011

[5] Black F., Scholes M., The pricing of options and corporate liabilities, J. Political Economy 81 (1973) 637-659. | Zbl 1092.91524

[6] Constantinides G., Zariphopoulou Th., Bounds on prices of continnent claims in an intertemporal economy with proportional transaction costs and general preferences, Finance Stoch. 3 (1999) 345-369. | MR 1842289 | Zbl 0935.91014

[7] Fleming W.H., Soner M.H., Controlled Markow Processes and Viscosity Solutions, Springer, Berlin, 1993. | MR 1199811 | Zbl 0773.60070

[8] Föllmer H., Stock price fluctuation as a diffusion in a random environment, in: Howison S.D., Kelly F.P., Wilmott P. (Eds.), Mathematical Models in Finance, Chapman & Hall, London, 1995. | MR 1397064 | Zbl 0854.90012

[9] R. Frey, A. Stremme, Portfolio insurance and volatility, Department of Economics, Univ. of Bonn, Discussion paper B-256.

[10] Kyle A.S., Continuous auctions and insider trading, Econometrica 53 (1985) 1315-1335. | Zbl 0571.90010

[11] J.-M. Lasry, P.-L. Lions, Towards a self-consistent theory of volatility, Preprint. | MR 2281452 | Zbl 1127.91027

[12] Lasry J.-M., Lions P.-L., Une classe nouvelle de problèmes singuliers de contrôle stochastique, C. R. Acad. Sci. Paris, Ser. I 331 (2000) 879-885. | MR 1806426 | Zbl 0971.49015

[13] Lasserre G., Asymmetric information and imperfect competition in a continuous time multivariate security model, Finance and Stochastics 8 (2004) 285-309. | MR 2048832 | Zbl 1060.91092

[14] Merton R., Theory of rational option pricing, Bull. J. Econom. Manag. Sci. 4 (1973) 141-183. | MR 496534

[15] M. Musiela, Th. Zariphopoulou, Indifference prices and related measures, Preprint.