MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
Author:
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9965.2007.00292.x/fullpdf
Reference14 articles.
1. Hedging and Portfolio Optimization in Financial Markets with a Large Trader
2. Liquidity risk and arbitrage pricing theory
3. Optimal consumption choices for a ‘large’ investor
4. Hedging options for a large investor and forward-backward SDE's
5. Perfect option hedging for a large trader
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