摘要翻译：
在缺乏流动性的市场中，期权交易者可能有一种利用其对基础资产动态的影响来增加其投资组合价值的动机。通过在Almgren&Chriss(2001)模型中引入策略交互作用，我们提供了一个数学框架，在多参与者框架下对市场冲击下的衍生品进行估值。具体地说，我们考虑了一个金融市场模型，其中有几个具有策略交互作用的参与者持有欧洲未定权益，他们的交易决策对标的物的价格演变有影响。我们证明了平衡结果的存在唯一性，并证明了平衡动力学可以用一个可能的非线性偏微分方程耦合系统来刻画。对于Almgren&Chriss(2001)中所使用的线性成本函数，我们得到了风险中性或CARA投资者的半封闭解。最后，我们指出利差交叉成本如何阻止市场操纵。
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英文标题：
《Illiquidity and Derivative Valuation》
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作者：
Ulrich Horst, Felix Naujokat
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最新提交年份：
2008
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  In illiquid markets, option traders may have an incentive to increase their portfolio value by using their impact on the dynamics of the underlying. We provide a mathematical framework within which to value derivatives under market impact in a multi-player framework by introducing strategic interactions into the Almgren & Chriss (2001) model. Specifically, we consider a financial market model with several strategically interacting players that hold European contingent claims and whose trading decisions have an impact on the price evolution of the underlying. We establish existence and uniqueness of equilibrium results and show that the equilibrium dynamics can be characterized in terms of a coupled system of possibly non-linear PDEs. For the linear cost function used in Almgren & Chriss (2001), we obtain (semi) closed form solutions for risk neutral or CARA investors. Finally, we indicate how spread crossing costs discourage market manipulation.
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PDF链接：
https://arxiv.org/pdf/0901.0091