Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk-Reference-Cited by-同舟云学术

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Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk

Published:2009-12 Issue:11 Volume:45 Page:738-750
ISSN:0304-4068
Container-title:Journal of Mathematical Economics
language:en
Short-container-title:Journal of Mathematical Economics

Author:

Bion-Nadal Jocelyne

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference49 articles.

1. No Arbitrage Conditions and Liquidity;Astic;Journal of Mathematical Economics,2007

2. Pricing and hedging derivative securities in markets with uncertain volatilities;Avellaneda;Applied Mathematical Finance,1995

3. Inf-convolution of risk measures and optimal risk transfer;Barrieu;Finance and Stochastics,2005

4. Gain, Loss, and asset pricing;Bernardo;Journal of Political Economy,2000

5. Bion-Nadal, J., 2005. Pricing Functions and Risk Measures in Incomplete Markets. Preprint CMAP 577.

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