Search Results - subject:"stochastic liquidity"

Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies

Horst, Ulrich; Kivman, Evgueni - In: Finance and Stochastics 28 (2024) 3, pp. 759-812

We consider an optimal liquidation problem with instantaneous price impact and stochastic resilience for small instantaneous impact factors. Within our modelling framework, the optimal portfolio process converges to the solution of an optimal liquidation problem with general semimartingale...

Persistent link: https://www.econbiz.de/10015359580

Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies

Horst, Ulrich; Kivman, Evgueni - In: Finance and stochastics 28 (2024) 3, pp. 759-812

Persistent link: https://www.econbiz.de/10015130386

A closed-form formula for pricing European options with stochastic volatility, regime switching, and stochastic market liquidity

He, Xin-Jiang; Chen, Hang; Lin, Sha - 2025

Persistent link: https://www.econbiz.de/10015376672

The liquidity premium in China’s corporate bond market : a stochastic liquidity discount approach

Min, Xiaoping; Ji, Min - In: Risks : open access journal 10 (2022) 7, pp. 1-16

stochastic liquidity discount factor model to evaluate the liquidity risk premium and its term structure in China’s corporate …

Persistent link: https://www.econbiz.de/10013365115

Valuations of generalized variance swaps under the jump-diffusion model with stochastic liquidity risk

Wang, Ke; Guo, Xun-xiang; Zhang, Hong-yu - In: The North American journal of economics and finance : a … 73 (2024), pp. 1-27

Persistent link: https://www.econbiz.de/10014581051

Pricing vulnerable spread options with liquidity risk under Lévy processes

Cai, Chengyou; Wang, Xingchun; Yu, Baimin - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10014534807

Closed-form formulae for variance and volatility swaps under stochastic volatility with stochastic liquidity risks

Lin, Sha; He, Xin-Jiang - In: The journal of futures markets 44 (2024) 8, pp. 1447-1461

Persistent link: https://www.econbiz.de/10015110668

Analytically pricing variance and volatility swaps under a Markov-modulated model with liquidity risks

He, Xin-Jiang; Lin, Sha - In: The North American journal of economics and finance : a … 67 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014483995

Pricing vulnerable basket spread options with liquidity risk

Dong, Ziming; Tang, Dan; Wang, Xingchun - In: Review of derivatives research 26 (2023) 1, pp. 23-50

Persistent link: https://www.econbiz.de/10014266355

On regularized optimal execution problems and their singular limits

Souza, Max O.; Thamsten, Y. - In: Applied mathematical finance 29 (2022) 2, pp. 79-109

Persistent link: https://www.econbiz.de/10013554788