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PriceImpact Functions
, 2000
"... Consider a trading environment where trading volume affects security prices. We show that when the price impact is time stationary, only linear priceimpact functions rule out arbitrage. This is true whether a single asset or a portfolio of assets is traded. When the temporary and permanent effects ..."
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Consider a trading environment where trading volume affects security prices. We show that when the price impact is time stationary, only linear priceimpact functions rule out arbitrage. This is true whether a single asset or a portfolio of assets is traded. When the temporary and permanent effects
Arbitragefree priceupdate and priceimpact functions. Working paper
, 2001
"... We study optimal liquidity trading in a framework where trade size has a price impact. A liquidity trader wishes to trade a Þxed number of shares within a certain time horizon and to minimize the mean and variance of the costs of trading. Explicit formulas for the optimal trading strategies show tha ..."
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Cited by 2 (0 self)
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how the evensplit result changes in a riskneutral world. We extend Bertsimas and Lo in several other directions by allowing risk aversion, nonstationary priceimpact functions,
Transform Analysis and Asset Pricing for Affine JumpDiffusions
 Econometrica
, 2000
"... In the setting of ‘‘affine’ ’ jumpdiffusion state processes, this paper provides an analytical treatment of a class of transforms, including various Laplace and Fourier transforms as special cases, that allow an analytical treatment of a range of valuation and econometric problems. Example applicat ..."
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Cited by 710 (38 self)
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applications include fixedincome pricing models, with a role for intensitybased models of default, as well as a wide range of optionpricing applications. An illustrative example examines the implications of stochastic volatility and jumps for option valuation. This example highlights the impact on option
Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
 Journal of Financial Economics
, 1985
"... The presence of traders with superior information leads to a positive bidask spread even when the specialist is riskneutral and makes zero expected profits. The resulting transaction prices convey information, and the expectation of the average spread squared times volume is bounded by a number th ..."
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Cited by 1273 (5 self)
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that is independent of insider activity. The serial correlation of transaction price differences is a function of the proportion of the spread due to adverse selection. A bidask spread implies a divergence between observed returns and realizable returns. Observed returns are approximately realizable returns plus
http://papers.ssrn.com/paper.taf?abstract_id=249963 Arbitragefree PriceUpdate and PriceImpact Functions ∗
, 2000
"... PriceImpact Functions Consider a trading environment where trading volume affects security prices. We show that when the price impact is time stationary, only linear priceimpact functions rule out arbitrage. This is true whether a single asset or a portfolio of assets is traded. When the temporary ..."
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PriceImpact Functions Consider a trading environment where trading volume affects security prices. We show that when the price impact is time stationary, only linear priceimpact functions rule out arbitrage. This is true whether a single asset or a portfolio of assets is traded. When
Sticky Information versus Sticky Prices: a Proposal to Replace the New Keynesian Phillips Curve
, 2002
"... This paper examines a model of dynamic price adjustment based on the assumption that information disseminates slowly throughout the population. Compared with the commonly used stickyprice model, this stickyinformation model displays three related properties that are more consistent with accepted v ..."
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Cited by 489 (25 self)
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This paper examines a model of dynamic price adjustment based on the assumption that information disseminates slowly throughout the population. Compared with the commonly used stickyprice model, this stickyinformation model displays three related properties that are more consistent with accepted
The Impact Of Outsourcing And HighTechnology Capital On Wages: Estimates For The United States, 19791990
, 1998
"... We estimate the relative influence of trade versus technology on wages in a "large country" setting, where technological change affects product prices. Trade is measured by the foreign outsourcing of intermediate inputs, while technological change is measured by expenditures on hightechno ..."
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Cited by 495 (19 self)
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We estimate the relative influence of trade versus technology on wages in a "large country" setting, where technological change affects product prices. Trade is measured by the foreign outsourcing of intermediate inputs, while technological change is measured by expenditures on high
Pricing with a Smile
 Risk Magazine
, 1994
"... prices as a function of volatility. If an option price is given by the market we can invert this relationship to get the implied volatility. If the model were perfect, this implied value would be the same for all option market prices, but reality shows this is not the case. Implied Black–Scholes vol ..."
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Cited by 445 (1 self)
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prices as a function of volatility. If an option price is given by the market we can invert this relationship to get the implied volatility. If the model were perfect, this implied value would be the same for all option market prices, but reality shows this is not the case. Implied Black
A closedform solution for options with stochastic volatility with applications to bond and currency options
 Review of Financial Studies
, 1993
"... I use a new technique to derive a closedform solution for the price of a European call option on an asset with stochastic volatility. The model allows arbitrary correlation between volatility and spotasset returns. I introduce stochastic interest rates and show how to apply the model to bond option ..."
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Cited by 1512 (6 self)
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options and foreign currency options. Simulations show that correlation between volatility and the spot asset’s price is important for explaining return skewness and strikeprice biases in the BlackScholes (1973) model. The solution technique is based on characteristic functions and can be applied
Results 1  10
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