Asset liquidity and the valuation of derivative securities (Q442747): Difference between revisions

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+https://doi.org/10.1016/j.cam.2012.05.005
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+W2071478577
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+Q2790464
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+The Liquidity Discount
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+Liquidity risk and arbitrage pricing theory
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+MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
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+Portfolio Selection with Transaction Costs
@@ Property / cites work: Portfolio Selection with Transaction Costs / rank @@
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+Option hedging for small investors under liquidity costs
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+European Option Pricing with Transaction Costs
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+Stochastic optimal control of ultradiffusion processes with application to dynamic portfolio management
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+On the Valuation of Asian Options by Variational Methods
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+Q4749148
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+Numerical methods for ultraparabolic equations
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+Extrapolation discontinuous Galerkin method for ultraparabolic equations
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+Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
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+Publication:442747