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Risk Management for Derivatives in Illiquid Markets: A Simulation Study · Study

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ChapterRisk Management for Derivatives in Illiquid Markets: A Simulation Study

Rüdiger Frey2002

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Chaptergreen2002

Risk Management for Derivatives in Illiquid Markets: A Simulation Study

Rüdiger Frey · Pierre Patie

93 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

2016Numerical solution of stochastic differential equations 1997Empirical Performance of Alternative Option Pricing Models 1995Pricing and hedging derivative securities in markets with uncertain volatilities 1985Nonparametric 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 1987The effect of large block transactions on security prices: A cross-sectional analysis 1995Uncertain volatility and the risk-free synthesis of derivatives 1998Robustness of the Black and Scholes Formula 1996Equilibrium Analysis of Portfolio Insurance

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2007Liquidation in the Face of Adversity: Stealth vs. Sunshine Trading 2012Finite-Element Methods 2011Analytical and Numerical Methods for Pricing Financial Derivatives 2009Numerical Methods for Non-Linear Black–Scholes Equations 2016Analysis of the Nonlinear Option Pricing Model Under Variable Transaction Costs

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2001Stochastic processes in insurance and financechapter · 7 shared references 2010On Nonlinear Models of Markets with Finite Liquidity: Some Cautionary Notesarticle · 7 shared references 2016Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?article · 6 shared references 2012Finite-Element Methodschapter · 6 shared references 2009Numerical Methods for Non-Linear Black–Scholes Equationsarticle · 6 shared references 2010Numerical analysis and simulation of option pricing problems modeling illiquid marketsarticle · 6 shared references

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Year2002

Typechapter

Published2002-01-01

VenueSpringer eBooks

Languageen

Citations93

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-662-04790-3_8

openalex_workW2113317082

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2019

An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models

2015A Nonlinear Option Pricing Model Through the Adomian Decomposition Method

2016Fast numerical valuation of options with jump under Merton’s model

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