Pricing in an equilibrium based model for a large investor (Q1932553): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2161355953
@@ Property / OpenAlex ID: W2161355953 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.3316
@@ Property / arXiv ID: 1007.3316 / rank @@
+Normal rank
@@ Property / cites work @@
+Liquidity and Asset Prices
@@ Property / cites work: Liquidity and Asset Prices / rank @@
+Normal rank
@@ Property / cites work @@
+Hedging and Portfolio Optimization in Financial Markets with a Large Trader
+Normal rank
@@ Property / cites work @@
+Liquidity risk and arbitrage pricing theory
@@ Property / cites work: Liquidity risk and arbitrage pricing theory / rank @@
+Normal rank
@@ Property / cites work @@
+HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup>
+Normal rank
@@ Property / cites work @@
+Hedging options for a large investor and forward-backward SDE's
+Normal rank
@@ Property / cites work @@
+Over-the-Counter Markets
@@ Property / cites work: Over-the-Counter Markets / rank @@
+Normal rank
@@ Property / cites work @@
+Perfect option hedging for a large trader
@@ Property / cites work: Perfect option hedging for a large trader / rank @@
+Normal rank
@@ Property / cites work @@
+Market Volatility and Feedback Effects from Dynamic Hedging
+Normal rank
@@ Property / cites work @@
+Liquidity shocks and equilibrium liquidity premia.
+Normal rank
@@ Property / cites work @@
+On Feedback Effects from Hedging Derivatives
@@ Property / cites work: On Feedback Effects from Hedging Derivatives / rank @@
+Normal rank