MODELING LIQUIDITY EFFECTS IN DISCRETE TIME (Q3446057)

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MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
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    MODELING LIQUIDITY EFFECTS IN DISCRETE TIME (English)
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    8 June 2007
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    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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