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Resilient price impact of trading and the cost of illiquidity

Roch, Alexandre; Soner, Halil Mete - In: International journal of theoretical and applied finance 16 (2013) 6, pp. 1-27

Persistent link: https://www.econbiz.de/10010197179

Option hedging for small investors under liquidity costs

Çetin, Umut; Soner, Halil Mete; Touzi, Nizar - In: Finance and stochastics 14 (2010) 3, pp. 317-341

Persistent link: https://www.econbiz.de/10010216487

Conditional Davis pricing

Larsen, Kasper; Soner, Halil Mete; Zitkovic, Gordan - 2018

We study the set of marginal utility-based prices of a financial derivative in the case where the investor has a non-replicable random endowment. We provide an example showing that even in the simplest of settings - such as Samuelson's geometric Brownian motion model - the interval of marginal...

Persistent link: https://www.econbiz.de/10011899936

Robust hedging with proportional transaction costs

Dolinsky, Yan; Soner, Halil Mete - In: Finance and stochastics 18 (2014) 2, pp. 327-347

Persistent link: https://www.econbiz.de/10010340734

Utility maximization in an illiquid market in continuous time

Soner, Halil Mete; Vukelja, Mirjana - In: Mathematical methods of operations research 84 (2016) 2, pp. 285-321

Persistent link: https://www.econbiz.de/10011673528

Liquidity in a binomial market

Gökay, Selim; Soner, Halil Mete - In: Mathematical finance : an international journal of … 22 (2012) 2, pp. 250-276

Persistent link: https://www.econbiz.de/10009613203

A model for a large investor trading at market indifference prices : I: single-period case

Bank, Peter; Kramkov, Dmitry - In: Finance and stochastics 19 (2015) 2, pp. 449-472

Persistent link: https://www.econbiz.de/10011418186