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Liquidity risk, price impacts and the replication problem - MaRDI portal

Liquidity risk, price impacts and the replication problem (Q483927)

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English
Liquidity risk, price impacts and the replication problem
scientific article

    Statements

    title
    Liquidity risk, price impacts and the replication problem (English)
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    author
    Alexandre F. Roch
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    publication date
    17 December 2014
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    zbMATH Keywords
    liquidity risk
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    BSDEs
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    stochastic volatility
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    price impacts
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    Identifiers

    Mathematics Subject Classification ID
    91B30
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    91B24
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    60H30
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    60G35
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    zbMATH DE Number
    6381423
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    OpenAlex ID
    W2158755510
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    arXiv ID
    0812.2440
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