Option replication in discrete time with the cost of illiquidity

DOI10.4310/CMS.2016.V14.N7.A8zbMATH Open1371.91170MaRDI QIDQ345984FDOQ345984

Authors: Yegor Sorokin, Hyejin Ku 

Publication date: 5 December 2016

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

Recommendations

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zbMATH Keywords

illiquidityliquidity riskinhomogeneous rebalancingoption replication

Mathematics Subject Classification ID

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

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
• Liquidity in a binomial market
• Call option pricing and replication under economic friction
• An analysis of the supply curve for liquidity risk through book data
• Option pricing with an illiquid underlying asset market
• Title not available (Why is that?)
• Efficient option replication in the presence of transactions costs
• On measuring the cost of liquidity in the limit order book

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