Option replication in discrete time with the cost of illiquidity

DOI10.4310/CMS.2016.V14.N7.A8zbMath1371.91170MaRDI QIDQ345984

Yegor Sorokin, Hyejin Ku

Publication date: 5 December 2016

Published in: Communications in Mathematical Sciences (Search for Journal in Brave)

zbMATH Keywords

illiquidityliquidity riskinhomogeneous rebalancingoption replication

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (1)

Option pricing for a large trader with price impact and liquidity costs

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