Optimal investment and contingent claim valuation in illiquid markets
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Publication:2255004
DOI10.1007/s00780-014-0240-0zbMath1311.91174OpenAlexW2094213266MaRDI QIDQ2255004
Publication date: 6 February 2015
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-014-0240-0
Related Items (15)
Asset price bubbles, market liquidity, and systemic risk ⋮ Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles ⋮ Asset market equilibrium with liquidity risk ⋮ Efficient Allocations in Double Auction Markets ⋮ Optimal Investment with Nonconcave Utilities in Discrete-Time Markets ⋮ Shadow price of information in discrete time stochastic optimization ⋮ Skorohod's Representation Theorem and Optimal Strategies for Markets with Frictions ⋮ Convex duality in optimal investment under illiquidity ⋮ Incorporating statistical model error into the calculation of acceptability prices of contingent claims ⋮ Existence of solutions in non-convex dynamic programming and optimal investment ⋮ PRICING INDEX OPTIONS BY STATIC HEDGING UNDER FINITE LIQUIDITY ⋮ Convex duality in optimal investment and contingent claim valuation in illiquid markets ⋮ Log-optimal and rapid paths in von Neumann-Gale dynamical systems ⋮ OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS ⋮ Hedging, arbitrage and optimality with superlinear frictions
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