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On Nonlinear Models of Markets with Finite Liquidity: Some Cautionary Notes
16 references·0 citing·31 second hop
On Nonlinear Models of Markets with Finite Liquidity: Some Cautionary Notes (2010)On Nonlinear Models of Markets with Finit…Liquidity Risk and Arbitrage Pricing Theory (2010)Liquidity Risk and Arbitrage …Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence (2006)Pricing Options in an Extende…Theory of rational option pricing (2005)Theory of rational option pri…Option pricing with an illiquid underlying asset market (2005)Option pricing with an illiqu…Liquidity risk and arbitrage pricing theory (2004)Liquidity risk and arbitrage …The Feedback Effect of Hedging in Illiquid Markets (2000)The Feedback Effect of Hedgin…Market microstructure: A survey (2000)Market microstructure: A surv…Perfect option hedging for a large trader (1998)Perfect option hedging for a …On Feedback Effects from Hedging Derivatives (1998)On Feedback Effects from Hedg…General Black-Scholes models accounting for increased market volatility from hedging strategies (1998)General Black-Scholes models …Market Volatility and Feedback Effects from Dynamic Hedging (1997)Market Volatility and Feedbac…The Mathematics of Financial Derivatives (1995)The Mathematics of Financial …Pricing and hedging derivative securities in markets with uncertain volatilities (1995)Pricing and hedging derivativ…Derivative Security Markets, Market Manipulation, and Option Pricing Theory (1994)Derivative Security Markets, …Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Martingales and arbitrage in multiperiod securities markets (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Hedging and Portfolio Optimization in Financial Markets with a Large Trader (2003)Stochastic Integration and Differential Equations (2005)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)Inferring Trade Direction from Intraday Data (1991)Credit Risk: Modeling, Valuation and Hedging (2004)Liquidity and Credit Default Swap Spreads (2008)Option hedging for small investors under liquidity costs (2009)Illiquidity Premia in the Equity Options Market (2017)Common risk factors in the returns on stocks and bonds (1993)Order imbalance, liquidity, and market returns (2002)An Empirical Analysis of Stock and Bond Market Liquidity (2004)Corporate Bond Market Transaction Costs and Transparency (2007)Survival Analysis Methods for Personal Loan Data (2002)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)On the numerical solution of nonlinear Black–Scholes equations (2008)Option pricing: A simplified approach (1979)Dynamical Models of Market Impact and Algorithms for Order Execution (2013)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 2000Market microstructure: A survey1,133 cited
  • 1995The Mathematics of Financial Derivatives1,037 cited
  • 1995Pricing and hedging derivative securities in markets with uncertain volatilities681 cited
  • 2004Liquidity risk and arbitrage pricing theory285 cited
  • 2010Liquidity Risk and Arbitrage Pricing Theory273 cited
  • 1997Market Volatility and Feedback Effects from Dynamic Hedging197 cited
  • 2006Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence182 cited
  • 1994Derivative Security Markets, Market Manipulation, and Option Pricing Theory179 cited
  • 1998General Black-Scholes models accounting for increased market volatility from hedging strategies161 cited
  • 2000The Feedback Effect of Hedging in Illiquid Markets153 cited
  • 1998Perfect option hedging for a large trader145 cited
  • 2005Option pricing with an illiquid underlying asset market134 cited
  • 1998

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On Feedback Effects from Hedging Derivatives
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