Liquidity models in continuous and discrete time

Selim Gökay; Alexandre F. Roch; H. Mete Soner

We survey several models of liquidity and liquidity related problems such as optimal execution of a large order, hedging and super-hedging options for a large trader, utility maximization in illiquid markets and price impact models with price manipulation strategies

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Year of publication:	2010
Authors:	Gökay, Selim ; Roch, Alexandre F. ; Soner, Halil Mete
Publisher:	Genève : Swiss Finance Inst.
Subject:	Optionspreistheorie \| Option pricing theory \| Hedging \| Marktliquidität \| Market liquidity \| Unvollkommener Markt \| Incomplete market \| Theorie \| Theory

Extent:	Online-Ressource (PDF-Datei: 34 S.)
Series:	Research paper series / Swiss Finance Institute. - Geneva, ZDB-ID 2392286-2. - Vol. 10,53 Swiss Finance Institute Research Paper ; No. 10-53
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	10.2139/ssrn.1730067 [DOI]
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G13 - Contingent Pricing; Futures Pricing ; D52 - Incomplete Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008798305