Jeannin, Marc; Iori, Giulia; Samuel, David - In: Quantitative Finance 8 (2008) 8, pp. 823-831
This paper investigates the effect of hedging strategies on the so-called pinning effect, i.e. the tendency of stock's prices to close near the strike price of heavily traded options as the expiration date nears. In the paper we extend the analysis of Avellaneda and Lipkin, who propose an...