14 citations · 17 across the 4 of their papers we have counts for
Showing 2019Show all
2 papers · 1 filter
q-fin.TR2019
How Option Hedging Shapes Market Impact
Emilio Said
We present a perturbation theory of the market impact based on an extension of the framework proposed by [Loeper, 2018] -- originally based on [Liu and Yong, 2005] -- in which we c…
q-fin.TR2019★ 1 cited
Market Impact: A Systematic Study of the High Frequency Options Market
Emilio Said, Ahmed Bel Hadj Ayed, Damien Thillou +2
This paper deals with a fundamental subject that has seldom been addressed in recent years, that of market impact in the options market. Our analysis is based on a proprietary data…