LIQUIDITY IN A BINOMIAL MARKET (Q4906530): Difference between revisions

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+https://doi.org/10.1111/j.1467-9965.2010.00462.x
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+W1521462779
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+Q57635905
@@ Property / Wikidata QID: Q57635905 / rank @@
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@@ Property / cites work @@
+Hedging and Portfolio Optimization in Financial Markets with a Large Trader
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+Exit Time Problems in Optimal Control and Vanishing Viscosity Method
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+Option pricing with transaction costs and a nonlinear Black-Scholes equation
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+Liquidity risk and arbitrage pricing theory
@@ Property / cites work: Liquidity risk and arbitrage pricing theory / rank @@
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+MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
@@ Property / cites work: MODELING LIQUIDITY EFFECTS IN DISCRETE TIME / rank @@
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+Option hedging for small investors under liquidity costs
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+Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
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+User’s guide to viscosity solutions of second order partial differential equations
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+Periodic homogenisation of certain fully nonlinear partial differential equations
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@@ Property / cites work @@
+Q4032143
@@ Property / cites work: Q4032143 / rank @@
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@@ Property / cites work @@
+Perfect option hedging for a large trader
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+Market Volatility and Feedback Effects from Dynamic Hedging
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@@ Property / cites work @@
+A model of optimal portfolio selection under liquidity risk and price impact
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@@ Property / cites work @@
+General Black-Scholes models accounting for increased market volatility from hedging strategies
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+On Feedback Effects from Hedging Derivatives
@@ Property / cites work: On Feedback Effects from Hedging Derivatives / rank @@
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+THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING
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@@ Property / cites work @@
+Superreplication Under Gamma Constraints
@@ Property / cites work: Superreplication Under Gamma Constraints / rank @@
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@@ Property / cites work @@
+Dynamic programming for stochastic target problems and geometric flows
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