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.
(2010) The cost of illiquidity and its effects on hedging, Mathematical Finance , 20: 597–615
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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.