MODELING LIQUIDITY EFFECTS IN DISCRETE TIME (Q3446057)

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MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
scientific article

    Statements

    title
    MODELING LIQUIDITY EFFECTS IN DISCRETE TIME (English)
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    author
    Umut Çetin
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    L. C. G. Rogers
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    publication date
    8 June 2007
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    zbMATH Keywords
    Bellman equation
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    Cox-Ross-Rubinstein model
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    equivalent martingale measure
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    liquidity risk
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    utility maximization from terminal wealth
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91G80
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    93E20
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    91G20
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    zbMATH DE Number
    5163050
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    OpenAlex ID
    W2079540372
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