Mathematical Models for Stock Pinning near Option Expiration Dates

Marco Avellaneda; Gennady Kasyan; Michael D. Lipkin

doi:10.1002/cpa.21404

Mathematical Models for Stock Pinning near Option Expiration Dates

Marco Avellaneda, Gennady Kasyan, Michael D. Lipkin

Mathematics

Research output: Contribution to journal › Article › peer-review

Original language	English (US)
Pages (from-to)	949-974
Number of pages	26
Journal	Communications on Pure and Applied Mathematics
Volume	65
Issue number	7
DOIs	https://doi.org/10.1002/cpa.21404
State	Published - Jul 2012

ASJC Scopus subject areas

General Mathematics
Applied Mathematics

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10.1002/cpa.21404

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title = "Mathematical Models for Stock Pinning near Option Expiration Dates",

author = "Marco Avellaneda and Gennady Kasyan and Lipkin, {Michael D.}",

year = "2012",

month = jul,

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pages = "949--974",

journal = "Communications on Pure and Applied Mathematics",

issn = "0010-3640",

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AU - Lipkin, Michael D.

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JO - Communications on Pure and Applied Mathematics

JF - Communications on Pure and Applied Mathematics

IS - 7

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Mathematical Models for Stock Pinning near Option Expiration Dates

ASJC Scopus subject areas

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