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

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+Hedging and Portfolio Optimization in Financial Markets with a Large Trader
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+Optimal consumption choices for a `large' investor
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+A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements
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+Hedging options for a large investor and forward-backward SDE's
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+Q4550916
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Continuous Auctions and Insider Trading
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+Q5562267
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+Forward-backward stochastic differential equations and their applications
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+Solving forward-backward stochastic differential equations explicitly -- a four step scheme
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+On Feedback Effects from Hedging Derivatives
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+The Feedback Effect of Hedging in Illiquid Markets
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+General Black-Scholes models accounting for increased market volatility from hedging strategies
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+Simple games of market manipulation
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+European-Type Contingent Claims in an Incomplete Market with Constrained Wealth and Portfolio
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+Q4255599
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