Asset liquidity and the valuation of derivative securities

DOI10.1016/j.cam.2012.05.005zbMath1244.91102MaRDI QIDQ442747

Yanan Jiang, Michael D. Marcozzi

Publication date: 3 August 2012

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2012.05.005

zbMATH Keywords

option pricing; liquidity risk; stochastic optional control

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

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

35K70: Ultraparabolic equations, pseudoparabolic equations, etc.

49L99: Hamilton-Jacobi theories

Cites Work

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