A market-induced mechanism for stock pinning
提出一个模型解释股票价格在期权到期日钉住执行价的现象，认为大额未平仓合约的Delta对冲会驱动股价趋向执行价，并推导出钉住概率的解析与数值解。
Abstract We propose a model to describe stock pinning on option expiration dates. We argue that if the open interest on a particular contract is unusually large, delta-hedging in aggregate by floor market-makers can impact the stock price and drive it to the strike price of the option. We derive a stochastic differential equation for the stock price which has a singular drift that accounts for the price-impact of delta-hedging. According to this model, the stock price has a finite probability of pinning at a strike. We calculate analytically and numerically this probability in terms of the volatility of the stock, the time-to-maturity, the open interest for the option under consideration and a ‘price elasticity’ constant that models price impact.