Option replication in discrete time with illiquidity
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Publication:3176524
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Cites work
- Dynamic programming and mean-variance hedging with partial execution risk
- Hedging and Portfolio Optimization in Financial Markets with a Large Trader
- Hedging and liquidation under transaction costs in currency markets
- Limit theorem on option replication cost with transaction costs
- Liquidity in a binomial market
- Liquidity risk and arbitrage pricing theory
- MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
- Mean-variance hedging with uncertain trade execution
- Option hedging for small investors under liquidity costs
- Option pricing: A simplified approach
- Perfect option hedging for a large trader
- The cost of illiquidity and its effects on hedging
Cited in
(9)- Hedging in an illiquid binomial market
- Option pricing with an illiquid underlying asset market
- Liquidity in a binomial market
- Option replication in discrete time with the cost of illiquidity
- Efficient option replication in the presence of transactions costs
- Call option pricing and replication under economic friction
- On measuring the cost of liquidity in the limit order book
- scientific article; zbMATH DE number 5588947 (Why is no real title available?)
- scientific article; zbMATH DE number 1867106 (Why is no real title available?)
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