Option replication in discrete time with the cost of illiquidity

DOI10.4310/CMS.2016.V14.N7.A8MaRDI QIDQ345984zbMATH OpenFDO

Authors Yegor Sorokin, Hyejin Ku

Publication date 5 December 2016

Published in Communications in Mathematical Sciences (Search for Journal in Brave)

zbMATH Keywords

illiquidityliquidity riskinhomogeneous rebalancingoption replication

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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Cited in

(12)

• Discrete hedging with liquidity risk
• Arbitrage-free interval and dynamic hedging in an illiquid market
• Optimal discrete hedging in Garman-Kohlhagen model with liquidity risk
• Option replication in discrete time with illiquidity
• Option pricing for a large trader with price impact and liquidity costs
• Call option pricing and replication under economic friction
• Liquidity in a binomial market
• An analysis of the supply curve for liquidity risk through book data
• Option pricing with an illiquid underlying asset market
• scientific article; zbMATH DE number 5588947 (Why is no real title available?)
• Efficient option replication in the presence of transactions costs
• On measuring the cost of liquidity in the limit order book

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