LIQUIDITY IN A BINOMIAL MARKET

DOI10.1111/j.1467-9965.2010.00462.xzbMath1277.91170WikidataQ57635905 ScholiaQ57635905MaRDI QIDQ4906530

Selim Gökay, Halil Mete Soner

Publication date: 28 February 2013

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00462.x

zbMATH Keywords

dynamic programming; super-replication; liquidity; binomial model

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

60G44: Martingales with continuous parameter

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

60H05: Stochastic integrals

Related Items

LOCAL RISK-MINIMIZATION WITH MULTIPLE ASSETS UNDER ILLIQUIDITY WITH APPLICATIONS IN ENERGY MARKETS, Utility maximization in an illiquid market, Superreplication when trading at market indifference prices, Super-replication with nonlinear transaction costs and volatility uncertainty, Utility maximization in an illiquid market in continuous time, Duality and convergence for binomial markets with friction, Option hedging for small investors under liquidity costs, Liquidity risk and the term structure of interest rates, Scaling limits for super-replication with transient price impact, Pricing European options in a discrete time model for the limit order book, Merton problem in an infinite horizon and a discrete time with frictions, Hedging in an illiquid binomial market, RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY, Option Replication in Discrete Time with Illiquidity

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