Search Results - subject:"stochastic liquidity"

Pricing vulnerable options with stochastic liquidity risk

Wang, Xingchun - In: The North American journal of economics and finance : a … 60 (2022), pp. 1-10

Persistent link: https://www.econbiz.de/10013449096

Stock liquidity premium with stochastic price impact and exogenous trading strategy

Stereńczak, Szymon - In: International review of financial analysis 71 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012435748

Optimal liquidation under stochastic liquidity

Becherer, Dirk; Bilarev, Todor; Frentrup, Peter - In: Finance and stochastics 22 (2018) 1, pp. 39-68

Persistent link: https://www.econbiz.de/10011945624

Discrete-time option pricing with stochastic liquidity

Leippold, Markus; Schärer, Steven - In: Journal of banking & finance 75 (2017), pp. 1-16

Persistent link: https://www.econbiz.de/10011742148

Discrete-time option pricing with stochastic liquidity

Leippold, Markus; Schärer, Steven - 2016

stochastic liquidity model within our framework using multidimensional binomial trees and we calibrate it to call and put options … that may contribute to significant bid-ask spreads. Within the framework of conic finance, we develop a stochastic … liquidity model, extending the discrete-time constant liquidity model of Madan (2010). With this extension, we can replicate the …

Persistent link: https://www.econbiz.de/10011515968

Optimal Execution of Multiasset Block Orders under Stochastic Liquidity

Makimoto, Naoki; Sugihara, Yoshihiko - Institute for Monetary and Economic Studies, Bank of Japan - 2010

In this paper, we develop a multiasset model of market liquidity and derive the optimal strategy for block order execution under both liquidity and volatility risk. The market liquidity flowing into and out of an order book is modeled as a mean-reverting stochastic process. Given the shape of...

Persistent link: https://www.econbiz.de/10008725883

Optimal trade execution under stochastic volatility and liquidity

Cheridito, Patrick; Sepin, Tardu - In: Applied mathematical finance 21 (2014) 3/4, pp. 342-362

Persistent link: https://www.econbiz.de/10010499674

Modeling feedback effects with stochastic liquidity

Esser, Angelika; Mönch, Burkart - 2003

. Our framework generalizes the model of Frey (2000), where liquidity is constant by introducing a stochastic liquidity …

Persistent link: https://www.econbiz.de/10010263308