Balduzzi, Pierluigi; Foresi, Silverio; Hait, David J. - In: Journal of Financial and Quantitative Analysis 32 (1997) 02, pp. 137-159
A price barrier is a price level at which a large number of investors either buy or sell securities. We analyze the dynamics of asset prices in an economy in which price barriers exist. Our analysis suggests that asset prices and volatility can exhibit jumps when the price barrier is reached....