Liquidity risk, price impacts and the replication problem
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Publication:483927
DOI10.1007/s00780-011-0156-xzbMath1303.91096arXiv0812.2440OpenAlexW2158755510MaRDI QIDQ483927
Publication date: 17 December 2014
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0812.2440
Microeconomic theory (price theory and economic markets) (91B24) Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Related Items (12)
HEDGING OF AMERICAN OPTIONS IN ILLIQUID MARKETS WITH PRICE IMPACTS ⋮ LOCAL RISK-MINIMIZATION WITH MULTIPLE ASSETS UNDER ILLIQUIDITY WITH APPLICATIONS IN ENERGY MARKETS ⋮ A limit order book model for latency arbitrage ⋮ Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies ⋮ An infinite-dimensional model of liquidity in financial markets ⋮ Liquidity risk and the term structure of interest rates ⋮ Pricing European options in a discrete time model for the limit order book ⋮ Hedging in an illiquid binomial market ⋮ Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders ⋮ A Mathematical Theory of Financial Bubbles ⋮ RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY ⋮ A liquidity-based model for asset price bubbles
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