Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
From MaRDI portal
Publication:1045982
DOI10.1016/j.jmateco.2009.05.004zbMath1179.91084arXivmath/0703074MaRDI QIDQ1045982
Publication date: 21 December 2009
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0703074
transaction costs; liquidity risk; dynamic risk measures; bid ask spreads; dynamic price process; no-arbitrage assumption
91B24: Microeconomic theory (price theory and economic markets)
60G44: Martingales with continuous parameter
91G20: Derivative securities (option pricing, hedging, etc.)
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