Duffie, Darrell (contributor); Garleanu, Nicolae (contributor) - 2006
satisfies Et[X(t+u)] = X(t) + mu for a constant drift m
(and if illiquidity costs are constant), then the continuation values …-6367, email garleanu@wharton.upenn.edu.
§Stern School of Business, New York University, 44 West Fourth Street, Suite 9-190,
New …Valuation in Over-the-Counter Markets∗
Darrell Duffie†
Nicolae Gˆarleanu‡
Lasse Heje Pedersen§
January 2006
Abstract
We …