Asset liquidity and the valuation of derivative securities-Reference-Cited by-同舟云学术

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Asset liquidity and the valuation of derivative securities

Published:2012-11 Issue:17 Volume:236 Page:4525-4536
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Jiang Yanan,Marcozzi Michael D.

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference20 articles.

1. Informed Traders as Liquidity Providers;Hachmeister,2007

2. Hedging claims with feedback jumps in the price process;Lee;Commun. Stoch. Anal.,2008

3. The liquidity discount;Subramanian;Math. Finance,2001

4. Optimal portfolio choice and the valuation of illiquid securities;Longstaff;Rev. Finance Stud.,2001

5. Liquidity risk and arbitrage pricing theory;Çetin;Finance Stoch.,2004

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