providing citation data for Economics since 2001
Step 1 of 3. This form allows you to add a new citation to our database.
Our data says that the document:
Matthias, Fengler ; Matthias, Fengler ; Winfried, Koeniger ; Stephan, Minger ; Winfried, Koeniger. (2024) The Transmission of Monetary Policy to the Cost of Hedging.
In: CESifo Working Paper Series. RePEc:ces:ceswps:_11556.
Full description at Econpapers
cites:
Inventory risk and replication costs of market makers. Stoll (1978) proposed that risk-averse market makers aim to avoid large balance sheets due to the potential for inventory risk resulting from unexpected changes in the market value of their balance sheet components. Inventory risk models predict that market makers require a premium for allowing their inventory to deviate from the optimal level, and their bidding behavior depends on the deviation of their holdings from that level (Amihud and Mendelson, 49 The option gamma captures the second derivative of the option price with respect to the value of the underlying. 50 Informed trading about the fundamental value appears unlikely because ATM options provide lower leverage and are more exposed to volatility risk than OTM options.
but, as far as we know, such cited document is not available on RePEc.
If you know this information is not correct, you may help us to improve our service giving us the handle of the cited document in the box below. In this way, we could add the citation to CitEc.
Note that if you are the author of a cited document which it is not available on RePEc, you can submit a copy to the Munich Personal RePEc Archive (MPRA). Upload a paper now.