Linear cash-settled contracts in M&A deals are more expensive and more exposed to broker manipulation than nonlinear collar or Asian TWAP contracts when trades have linear price impact.
(1984) A theory of futures markets manipulations, in: RW Anderson (ed.) The Industrial Organization of Futures Markets (Lexington, Mass.)
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Pricing and Hedging Financial Derivatives in Merger\&Acquisition Deals with Price Impact
Linear cash-settled contracts in M&A deals are more expensive and more exposed to broker manipulation than nonlinear collar or Asian TWAP contracts when trades have linear price impact.