MODELING LIQUIDITY EFFECTS IN DISCRETE TIME

DOI10.1111/j.1467-9965.2007.00292.xzbMath1278.91125OpenAlexW2079540372MaRDI QIDQ3446057

Publication date: 8 June 2007

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

Full work available at URL: http://eprints.lse.ac.uk/2844/

zbMATH Keywords

Bellman equation equivalent martingale measure liquidity risk Cox-Ross-Rubinstein model utility maximization from terminal wealth

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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Cites Work

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