Liquidity risk, price impacts and the replication problem (Q483927): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91B30 / rank | |||
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| Property / Mathematics Subject Classification ID: 91B24 / rank | |||
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| Property / Mathematics Subject Classification ID: 60H30 / rank | |||
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| Property / Mathematics Subject Classification ID: 60G35 / rank | |||
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| Property / zbMATH DE Number: 6381423 / rank | |||
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liquidity risk | |||
| Property / zbMATH Keywords: liquidity risk / rank | |||
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BSDEs | |||
| Property / zbMATH Keywords: BSDEs / rank | |||
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stochastic volatility | |||
| Property / zbMATH Keywords: stochastic volatility / rank | |||
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price impacts | |||
| Property / zbMATH Keywords: price impacts / rank | |||
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Revision as of 20:01, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Liquidity risk, price impacts and the replication problem |
scientific article |
Statements
Liquidity risk, price impacts and the replication problem (English)
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17 December 2014
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liquidity risk
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BSDEs
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stochastic volatility
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price impacts
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