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Dans cet article nous proposons un modele dynamique en temps continu avec asymetrie d'information dans lequel les teneurs de marches ont une aversion au risque croissante avec le volume demande et les investisseurs peuvent passer des ordres pour differentes quantites. Ce modele nous permet de...
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Derivative securities may incite traders to manipulate the price of the underlying assets. We analyze this issue at the exercise date of an European option on a stock, when the stock price determines the option payoff. Traders submit their demand for the stock to an auctioneer who selects a...
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