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Option pricing for a large trader with price impact and liquidity costs · Study

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ArticleOption pricing for a large trader with price impact and liquidity costs

Hyejin Ku2017

OA

Articlebronze2017

Option pricing for a large trader with price impact and liquidity costs

Hyejin Ku · Hai Zhang

20 citations·0/0 files stored·Journal of Mathematical Analysis and Applications

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

2001Optimal execution of portfolio transactions 1989Optimal replication of contingent claims under transaction costs 1993European Option Pricing with Transaction Costs 2003Optimal execution with nonlinear impact functions and trading-enhanced risk 2001Optimal Portfolio Choice and the Valuation of Illiquid Securities 2004Liquidity risk and arbitrage pricing theory 2010Liquidity Risk and Arbitrage Pricing Theory 2002VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION

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2024Closed‐Form Formulae for Variance and Volatility Swaps Under Stochastic Volatility With Stochastic Liquidity Risks

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2011Liquidity Models in Continuous and Discrete Timechapter · 11 shared references 2010THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGINGarticle · 8 shared references 2006MODELING LIQUIDITY EFFECTS IN DISCRETE TIMEarticle · 8 shared references 2010LIQUIDITY IN A BINOMIAL MARKETarticle · 8 shared references 2011Nonlinear Black–Scholes Equations in Finance: Associated Control Problems and Properties of Solutionsarticle · 8 shared references 2009Option hedging for small investors under liquidity costsarticle · 7 shared references

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Year2017

Typearticle

Published2017-11-06

VenueJournal of Mathematical Analysis and Applications

ISSN-L0022-247X

Languageen

Citations20

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jmaa.2017.10.072

openalex_workW2767432952

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