Hedging in an illiquid binomial market
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Publication:2510779
DOI10.1016/J.NONRWA.2013.09.001zbMath1293.91189OpenAlexW1968265603WikidataQ57635866 ScholiaQ57635866MaRDI QIDQ2510779
Publication date: 4 August 2014
Published in: Nonlinear Analysis. Real World Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.nonrwa.2013.09.001
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (3)
An infinite-dimensional model of liquidity in financial markets ⋮ Pricing European options in a discrete time model for the limit order book ⋮ Multivariate Hawkes-based models in limit order book: European and spread option pricing
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- General Black-Scholes models accounting for increased market volatility from hedging strategies
- LIQUIDITY IN A BINOMIAL MARKET
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