Option pricing with an illiquid underlying asset market (Q956485): Difference between revisions

From MaRDI portal
RedirectionBot (talk | contribs)
Changed an Item
Normalize DOI.
 
(3 intermediate revisions by 3 users not shown)
Property / DOI
 
Property / DOI: 10.1016/j.jedc.2004.11.004 / rank
Normal rank
 
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.jedc.2004.11.004 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W1971138837 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hedging and Portfolio Optimization in Financial Markets with a Large Trader / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal consumption choices for a `large' investor / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hedging options for a large investor and forward-backward SDE's / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4550916 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous Auctions and Insider Trading / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5562267 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Forward-backward stochastic differential equations and their applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Solving forward-backward stochastic differential equations explicitly -- a four step scheme / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Feedback Effects from Hedging Derivatives / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Feedback Effect of Hedging in Illiquid Markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: General Black-Scholes models accounting for increased market volatility from hedging strategies / rank
 
Normal rank
Property / cites work
 
Property / cites work: Simple games of market manipulation / rank
 
Normal rank
Property / cites work
 
Property / cites work: European-Type Contingent Claims in an Incomplete Market with Constrained Wealth and Portfolio / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4255599 / rank
 
Normal rank
Property / DOI
 
Property / DOI: 10.1016/J.JEDC.2004.11.004 / rank
 
Normal rank

Latest revision as of 09:49, 10 December 2024

scientific article
Language Label Description Also known as
English
Option pricing with an illiquid underlying asset market
scientific article

    Statements

    Option pricing with an illiquid underlying asset market (English)
    0 references
    0 references
    0 references
    25 November 2008
    0 references
    price impact
    0 references
    option pricing
    0 references
    illiquidity
    0 references
    volatility smile
    0 references

    Identifiers