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A non-arbitrage liquidity model with observable parameters for derivatives
16 references·0 citing·43 second hop
A non-arbitrage liquidity model with observable parameters for derivatives (2003)A non-arbitrage liquidity model with obse…Order imbalance, liquidity, and market returns (2002)Order imbalance, liquidity, a…Monte Carlo methods in finance (2002)Monte Carlo methods in financeOptimal execution of portfolio transactions (2001)Optimal execution of portfoli…Optimal control of execution costs (1998)Optimal control of execution …Martingale Methods in Financial Modelling (1997)Martingale Methods in Financi…There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs (1995)There is no Nontrivial Hedgin…Option pricing: Mathematical models and computation (1994)Option pricing: Mathematical …Option Replication in Discrete Time with Transaction Costs (1992)Option Replication in Discret…Market Manipulation, Bubbles, Corners, and Short Squeezes (1992)Market Manipulation, Bubbles,…DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1 (1992)DERIVATIVE ASSET PRICING WITH…Market Liquidity, Hedging, and Crashes (1990)Market Liquidity, Hedging, an…Capital Market Equilibrium with Transaction Costs (1986)Capital Market Equilibrium wi…Option Pricing and Replication with Transactions Costs (1985)Option Pricing and Replicatio…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Adjustment of Stock Prices to New Information (1969)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Does Algorithmic Trading Improve Liquidity? (2011)Optimal trading strategy and supply/demand dynamics (2012)60 Years of portfolio optimization: Practical challenges and current trends (2013)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Common factors in prices, order flows, and liquidity (2001)Stealth-trading: Which traders' trades move stock prices? (2001)Modelling Extremal Events (1997)Term Structure Dynamics in Theory and Reality (2003)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Stochastic Integration and Differential Equations (2005)Numerical solution of stochastic differential equations (2016)Volatility Is Rough (2018)Market structure, information, futures markets, and price formation. (1984)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Portfolio selection with transactions costs (1976)The Valuation of Uncertain Income Streams and the Pricing of Options (1976)Portfolio Selection with Transaction Costs (1990)Volume, Volatility, Price, and Profit When All Traders Are Above Average (1998)An Engine, Not a Camera (2006)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)The theory and practice of econometrics (1986)Inferring Trade Direction from Intraday Data (1991)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Responsible Investing: The ESG-Efficient Frontier (2019)Far Field Boundary Conditions for Black--Scholes Equations (2000)PDE methods for pricing barrier options (2000)A Real Options Approach to the Valuation of a Forestry Investment (2002)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2001Optimal execution of portfolio transactions1,598 cited
  • 1986Capital Market Equilibrium with Transaction Costs1,096 cited
  • 1997Martingale Methods in Financial Modelling1,093 cited
  • 1998Optimal control of execution costs1,056 cited
  • 2002Order imbalance, liquidity, and market returns927 cited
  • 1985Option Pricing and Replication with Transactions Costs916 cited
  • 1994Option pricing: Mathematical models and computation805 cited
  • 1990Market Liquidity, Hedging, and Crashes550 cited
  • 2002Monte Carlo methods in finance459 cited
  • 1992DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1420 cited
  • 1992Option Replication in Discrete Time with Transaction Costs411 cited
  • 1992Market Manipulation, Bubbles, Corners, and Short Squeezes394 cited
  • 1995There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs

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