Option replication in discrete time with illiquidity

DOI10.1080/1350486X.2012.675161zbMATH Open1457.91388MaRDI QIDQ3176524FDOQ3176524

Koichi Matsumoto

Publication date: 20 July 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

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zbMATH Keywords

replicationsupply curvesettlement method

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Liquidity risk and arbitrage pricing theory
• LIQUIDITY IN A BINOMIAL MARKET
• Option hedging for small investors under liquidity costs
• Hedging and liquidation under transaction costs in currency markets
• Option pricing: A simplified approach
• Perfect option hedging for a large trader
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING
• MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
• Limit theorem on option replication cost with transaction costs
• Dynamic programming and mean-variance hedging with partial execution risk
• Mean-variance hedging with uncertain trade execution

Cited In (4)

• Title not available (Why is that?)
• Call option pricing and replication under economic friction
• Title not available (Why is that?)
• Efficient option replication in the presence of transactions costs

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