LIQUIDITY IN A BINOMIAL MARKET

DOI10.1111/j.1467-9965.2010.00462.xzbMath1277.91170OpenAlexW1521462779WikidataQ57635905 ScholiaQ57635905MaRDI QIDQ4906530

Selim Gökay, Halil Mete Soner

Publication date: 28 February 2013

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00462.x

zbMATH Keywords

dynamic programmingsuper-replicationliquiditybinomial model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)

Related Items (14)

Merton problem in an infinite horizon and a discrete time with frictions ⋮ Super-replication with nonlinear transaction costs and volatility uncertainty ⋮ Option Replication in Discrete Time with Illiquidity ⋮ Utility maximization in an illiquid market in continuous time ⋮ Duality and convergence for binomial markets with friction ⋮ LOCAL RISK-MINIMIZATION WITH MULTIPLE ASSETS UNDER ILLIQUIDITY WITH APPLICATIONS IN ENERGY MARKETS ⋮ Scaling limits for super-replication with transient price impact ⋮ Option hedging for small investors under liquidity costs ⋮ Utility maximization in an illiquid market ⋮ 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 ⋮ RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY ⋮ Superreplication when trading at market indifference prices

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