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hal.structure.identifierLaboratoire d'Economie de Dauphine [LEDa]
dc.contributor.authorAïd, René
hal.structure.identifierDipartimento di Matematica Pura e Applicata [Padova]
dc.contributor.authorCallegaro, Giorgia
hal.structure.identifierDepartment of Statistics - London School of Economics [LSE]
dc.contributor.authorCampi, Luciano
dc.date.accessioned2021-05-03T13:38:10Z
dc.date.available2021-05-03T13:38:10Z
dc.date.issued2020-04
dc.identifier.issn1862-9679
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/21666
dc.language.isoenen
dc.subjectPrice manipulationen
dc.subjectFair game option pricingen
dc.subjectMartingale optimality principleen
dc.subjectLinear-quadratic stochastic differential gamesen
dc.subject.ddc332en
dc.subject.classificationjelG.G1.G10en
dc.subject.classificationjelC.C7.C73en
dc.subject.classificationjelG.G0.G02en
dc.titleNo-arbitrage commodity option pricing with market manipulationen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe design three continuous-time models in finite horizon of a commodity price, whose dynamics can be affected by the actions of a representative risk-neutral producer and a representative risk-neutral trader. Depending on the model, the producer can control the drift and/or the volatility of the price whereas the trader can at most affect the volatility. The producer can affect the volatility in two ways: either by randomizing her production rate or, as the trader, using other means such as spreading false information. Moreover, the producer contracts at time zero a fixed position in a European convex derivative with the trader. The trader can be price-taker, as in the first two models, or she can also affect the volatility of the commodity price, as in the third model. We solve all three models semi-explicitly and give closed-form expressions of the derivative price over a small time horizon, preventing arbitrage opportunities to arise. We find that when the trader is price-taker, the producer can always compensate the loss in expected production profit generated by an increase of volatility by a gain in the derivative position by driving the price at maturity to a suitable level. Finally, in case the trader is active, the model takes the form of a nonzero-sum linear-quadratic stochastic differential game and we find that when the production rate is already at its optimal stationary level, there is an amount of derivative position that makes both players better off when entering the game.en
dc.relation.isversionofjnlnameMathematical and Financial Economics
dc.relation.isversionofjnlvol4en
dc.relation.isversionofjnlissue3en
dc.relation.isversionofjnldate2020-04
dc.relation.isversionofjnlpages577–603en
dc.relation.isversionofdoi10.1007/s11579-020-00265-yen
dc.relation.isversionofjnlpublisherSpringeren
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2021-05-03T12:52:00Z
hal.faultCode{"meta":{"jel":["Vous ne pouvez pas saisir d'autres valeurs ('G.G0.G02') que celles se trouvant dans l'arbre ci-dessous..."]}}
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