Hedging in an illiquid binomial market (Q2510779): Difference between revisions

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+Liquidity risk and arbitrage pricing theory
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+MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
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+LIQUIDITY IN A BINOMIAL MARKET
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+Option hedging for small investors under liquidity costs
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+Liquidity Models in Continuous and Discrete Time
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+A Continuity Correction for Discrete Barrier Options
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+Connecting discrete and continuous path-dependent options
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+Fast accurate binomial pricing
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+Hedging and Portfolio Optimization in Financial Markets with a Large Trader
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+Perfect option hedging for a large trader
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+Market Volatility and Feedback Effects from Dynamic Hedging
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+A model of optimal portfolio selection under liquidity risk and price impact
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+On Feedback Effects from Hedging Derivatives
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+Liquidity risk, price impacts and the replication problem
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+General Black-Scholes models accounting for increased market volatility from hedging strategies
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+A model for a large investor trading at market indifference prices. I: Single-period case
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+A model for a large investor trading at market indifference prices. II: Continuous-time case.
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