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.
(2022) Hedging of American options in illiquid markets with price impacts, International Journal of Theoretical and Applied Finance
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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.