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MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
13 references·14 citing·39 second hop
MODELING LIQUIDITY EFFECTS IN DISCRETE TIME (2006)MODELING LIQUIDITY EFFECTS IN DISCRETE TI…Liquidity Risk and Arbitrage Pricing Theory (2010)Liquidity Risk and Arbitrage …Liquidity risk and arbitrage pricing theory (2004)Liquidity risk and arbitrage …Hedging and Portfolio Optimization in Financial Markets with a Large Trader (2003)Hedging and Portfolio Optimiz…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …Perfect option hedging for a large trader (1998)Perfect option hedging for a …Optimal consumption choices for a ‘large’ investor (1998)Optimal consumption choices f…On Feedback Effects from Hedging Derivatives (1998)On Feedback Effects from Hedg…Market Volatility and Feedback Effects from Dynamic Hedging (1997)Market Volatility and Feedbac…Hedging options for a large investor and forward-backward SDE's (1996)Hedging options for a large i…Equivalent martingale measures and no-arbitrage (1994)Equivalent martingale measure…Derivative Security Markets, Market Manipulation, and Option Pricing Theory (1994)Derivative Security Markets, …Optimal replication of contingent claims under transaction costs (1989)Optimal replication of contin…Liquidity and Market Structure (1988)Liquidity and Market StructureDynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach (2018)Dynamic portfolio optimizatio…Adaptive basket liquidation (2016)Adaptive basket liquidationOPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT (2015)OPTION PRICING AND HEDGING WI…Hedging, arbitrage and optimality with superlinear frictions (2015)Hedging, arbitrage and optima…Optimal investment and contingent claim valuation in illiquid markets (2014)Optimal investment and contin…Duality and convergence for binomial markets with friction (2012)Duality and convergence for b…RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY (2011)RESILIENT PRICE IMPACT OF TRA…Liquidity risk, price impacts and the replication problem (2011)Liquidity risk, price impacts…Liquidity Models in Continuous and Discrete Time (2011)Liquidity Models in Continuou…SUPERHEDGING IN ILLIQUID MARKETS (2010)SUPERHEDGING IN ILLIQUID MARK…OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS (2010)OPTIMAL LIQUIDATION OF DERIVA…LIQUIDITY IN A BINOMIAL MARKET (2010)LIQUIDITY IN A BINOMIAL MARKETHedging of Claims with Physical Delivery under Convex Transaction Costs (2010)Hedging of Claims with Physic…Arbitrage and deflators in illiquid markets (2009)Arbitrage and deflators in il…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Exponential Hedging and Entropic Penalties (2002)Arbitrage Theory in Continuous Time (2004)Utility maximization in incomplete markets (2005)Brownian Motion and Stochastic Calculus (2007)Capital Market Equilibrium with Restricted Borrowing (1972)Adapted solution of a backward stochastic differential equation (1990)Equilibrium Mispricing in a Capital Market with Portfolio Constraints (2000)A dynamic maximum principle for the optimization of recursive utilities under constraints (2001)Option pricing with an illiquid underlying asset market (2005)Martingales and stochastic integrals in the theory of continuous trading (1981)Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978 (1985)Hedging of contingent claims under incomplete information (1990)Go Down Fighting: Short Sellers vs. Firms (2012)Financial market misconduct and agency conflicts: A synthesis and future directions (2015)Continuous Auctions and Insider Trading (1985)Stochastic Integration and Differential Equations (1990)Stochastic Integration and Differential Equations (2005)A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS (2012)Dual formulation of second order target problems (2013)On viscosity solutions of path dependent PDEs (2014)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence (2006)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)The Pricing of Options and Corporate Liabilities (1973)Numerical methods for forward-backward stochastic differential equations (1996)Finding adapted solutions of forward–backward stochastic differential equations: method of continuation (1997)The Cost of Transacting (1968)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Liquidity and stock returns: An alternative test (1998)A New Estimate of Transaction Costs (1999)Commonality in liquidity (2000)General Black-Scholes models accounting for increased market volatility from hedging strategies (1998)The Feedback Effect of Hedging in Illiquid Markets (2000)On the numerical solution of nonlinear Black–Scholes equations (2008)Option Replication in Discrete Time with Transaction Costs (1992)Optimal Investment and Consumption with Transaction Costs (1994)Dynamical Models of Market Impact and Algorithms for Order Execution (2013)
this work references cited by second hop

References

  • 1988Liquidity and Market Structure1,532 cited
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 1989Optimal replication of contingent claims under transaction costs605 cited
  • 2004Liquidity risk and arbitrage pricing theory285 cited
  • 2010Liquidity Risk and Arbitrage Pricing Theory273 cited
  • 2003Hedging and Portfolio Optimization in Financial Markets with a Large Trader226 cited
  • 1996Hedging options for a large investor and forward-backward SDE's207 cited
  • 1997Market Volatility and Feedback Effects from Dynamic Hedging197 cited
  • 1994Derivative Security Markets, Market Manipulation, and Option Pricing Theory179 cited
  • 1998Optimal consumption choices for a ‘large’ investor173 cited
  • 1998Perfect option hedging for a large trader145 cited
  • 1994Equivalent martingale measures and no-arbitrage130 cited
  • 1998On Feedback Effects from Hedging Derivatives124 cited

Cited by

  • 2010Hedging of Claims with Physical Delivery under Convex Transaction Costs58 cited
  • 2011RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY49 cited

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  • 2011Liquidity risk, price impacts and the replication problem48 cited
  • 2015OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT46 cited
  • 2012Duality and convergence for binomial markets with friction40 cited
  • 2011Liquidity Models in Continuous and Discrete Time37 cited
  • 2014Optimal investment and contingent claim valuation in illiquid markets36 cited
  • 2009Arbitrage and deflators in illiquid markets33 cited
  • 2010SUPERHEDGING IN ILLIQUID MARKETS30 cited
  • 2010LIQUIDITY IN A BINOMIAL MARKET28 cited
  • 2015Hedging, arbitrage and optimality with superlinear frictions27 cited
  • 2018Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach23 cited
  • 2010OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS22 cited
  • 2016Adaptive basket liquidation22 cited