Arbitrage-free interval and dynamic hedging in an illiquid market

DOI10.1080/14697688.2012.693943MaRDI QIDQ5397440zbMATH OpenOpenAlexFDO

Authors Jinqiang Yang, Zhaojun Yang

Publication date 20 February 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2012.693943

zbMATH Keywords

arbitrage-free intervalliquidity costsliquidity modelingmodified hedges

Mathematics Subject Classification ID

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

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Cites work

• A new computational tool for analysing dynamic hedging under transaction costs
• Continuous Auctions and Insider Trading
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• Hedging options for a large investor and forward-backward SDE's
• scientific article; zbMATH DE number 3059214 (Why is no real title available?)
• Liquidity risk and arbitrage pricing theory
• Market volatility and feedback effects from dynamic hedging
• MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
• On Feedback Effects from Hedging Derivatives
• Option pricing with an illiquid underlying asset market
• Perfect option hedging for a large trader
• Small transaction cost asymptotics and dynamic hedging
• The pricing of options and corporate liabilities

Cited in

(10)

• The optimal rehedging interval for the options portfolio within the RAPM, taking into account transaction costs and liquidity costs
• Hedging forward positions: basis risk versus liquidity costs
• Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
• Discrete hedging with liquidity risk
• The cost of illiquidity and its effects on hedging
• Option replication in discrete time with the cost of illiquidity
• scientific article; zbMATH DE number 1795849 (Why is no real title available?)
• Market liquidity and its effect on option valuation and hedging
• A note on convergence of an approximate hedging portfolio with liquidity risk
• Pricing illiquid options with N+1 liquid proxies using mixed dynamic-static hedging

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