Optimal design of derivatives in illiquid markets*

DOI10.1088/1469-7688/2/3/301zbMath1405.91584OpenAlexW1983846819MaRDI QIDQ4646780

Pauline Barrieu, Nicole El Karoui

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/2/3/301

zbMATH Keywords

illiquid marketsderivatives design

Mathematics Subject Classification ID

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

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Cites Work

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• Pricing Interest-Rate-Derivative Securities
• Ambiguity, Risk, and Asset Returns in Continuous Time
• The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets