Mathematical Models for Stock Pinning near Option Expiration Dates

Marco Avellaneda, Gennady Kasyan, Michael D. Lipkin

Research output: Contribution to journalArticle

Original languageEnglish (US)
Pages (from-to)949-974
Number of pages26
JournalCommunications on Pure and Applied Mathematics
Volume65
Issue number7
DOIs
StatePublished - Jul 2012

ASJC Scopus subject areas

  • Mathematics(all)
  • Applied Mathematics

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