Liquidity in a binomial market
DOI10.1111/J.1467-9965.2010.00462.XzbMATH Open1277.91170OpenAlexW1521462779WikidataQ57635905 ScholiaQ57635905MaRDI QIDQ4906530FDOQ4906530
Authors: Selim Gökay, H. 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
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)
Cites Work
- Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
- User’s guide to viscosity solutions of second order partial differential equations
- Title not available (Why is that?)
- Liquidity risk and arbitrage pricing theory
- Dynamic programming for stochastic target problems and geometric flows
- Periodic homogenisation of certain fully nonlinear partial differential equations
- Superreplication Under Gamma Constraints
- Option hedging for small investors under liquidity costs
- Perfect option hedging for a large trader
- Hedging and Portfolio Optimization in Financial Markets with a Large Trader
- General Black-Scholes models accounting for increased market volatility from hedging strategies
- Option pricing with transaction costs and a nonlinear Black-Scholes equation
- The cost of illiquidity and its effects on hedging
- MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
- A model of optimal portfolio selection under liquidity risk and price impact
- Market volatility and feedback effects from dynamic hedging
- Exit Time Problems in Optimal Control and Vanishing Viscosity Method
- On Feedback Effects from Hedging Derivatives
Cited In (18)
- Superreplication when trading at market indifference prices
- Duality and convergence for binomial markets with friction
- Option hedging for small investors under liquidity costs
- Option replication in discrete time with illiquidity
- Resilient price impact of trading and the cost of illiquidity
- Liquidity risk and the term structure of interest rates
- Hedging in an illiquid binomial market
- Super-replication with nonlinear transaction costs and volatility uncertainty
- Merton problem in an infinite horizon and a discrete time with frictions
- Pricing Liquidity in the Stock Market
- Utility maximization in an illiquid market in continuous time
- Scaling limits for super-replication with transient price impact
- Utility maximization in an illiquid market
- Pricing European options in a discrete time model for the limit order book
- Liquidity and market incompleteness
- Multivariate Hawkes-based models in limit order book: European and spread option pricing
- Implied trees in illiquid markets: A Choquet pricing approach
- Local risk-minimization with multiple assets under illiquidity with applications in energy markets
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