THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING
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Publication:3161737
DOI10.1111/j.1467-9965.2010.00413.xzbMath1232.91635OpenAlexW1573838050MaRDI QIDQ3161737
Surbjeet Singh, L. C. G. Rogers
Publication date: 15 October 2010
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00413.x
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Cites Work
- Portfolio selection with transactions costs
- Perfect option hedging for a large trader
- Market Volatility and Feedback Effects from Dynamic Hedging
- Optimal Liquidity Trading*
- MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
- On Feedback Effects from Hedging Derivatives
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Hedging and Portfolio Optimization in Financial Markets with a Large Trader
- The Feedback Effect of Hedging in Illiquid Markets
- General Black-Scholes models accounting for increased market volatility from hedging strategies
- Large Investors, takeovers, and the rule of law
- Portfolio Selection with Transaction Costs
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