Asset liquidity and the valuation of derivative securities (Q442747)

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Asset liquidity and the valuation of derivative securities
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    Statements

    title
    Asset liquidity and the valuation of derivative securities (English)
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    author
    Yanan Jiang
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    Michael D. Marcozzi
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    publication date
    3 August 2012
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    zbMATH Keywords
    liquidity risk
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    option pricing
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    stochastic optional control
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    49L99
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    35K70
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    91G20
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    zbMATH DE Number
    6063183
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