Mathematical Models for Stock Pinning near Option Expiration Dates

  1. Marco Avellaneda1,
  2. Gennady Kasyan3,
  3. Michael D. Lipkin2

Article first published online: 25 APR 2012

DOI: 10.1002/cpa.21404

Issue

Communications on Pure and Applied Mathematics

Communications on Pure and Applied Mathematics

Special Issue: First Special Issue Commemorating the 75th Anniversary of the Courant Institute

Volume 65, Issue 7, pages 949–974, July 2012

Additional Information

How to Cite

Avellaneda, M., Kasyan, G. and Lipkin, M. D. (2012), Mathematical Models for Stock Pinning near Option Expiration Dates. Comm. Pure Appl. Math., 65: 949–974. doi: 10.1002/cpa.21404

Author Information

  1. 1

    Courant Institute, 251 Mercer St., Rm. 530, New York, NY 10012

  2. 2

    Katama Trading LLC, 2 Rector St., New York, NY 10006

  3. 3

    Courant Institute, 251 Mercer St., Rm. 507, New York, NY 10012

Publication History

  1. Issue published online: 25 APR 2012
  2. Article first published online: 25 APR 2012
  3. Manuscript Received: JAN 2012

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