Option hedging for small investors under liquidity costs
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 14 (2010)
Issue (Month): 3 (September)
Contact details of provider:
Web page: http://www.springerlink.com/content/101164/
Find related papers by JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- RØdiger Frey, 1998. "Perfect option hedging for a large trader," Finance and Stochastics, Springer, Springer, vol. 2(2), pages 115-141.
- Jaksa Cvitanić & Ioannis Karatzas, 1996. "HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH-super-2," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 6(2), pages 133-165.
- Eckhard Platen & Martin Schweizer, 1998.
"On Feedback Effects from Hedging Derivatives,"
Mathematical Finance, Wiley Blackwell,
Wiley Blackwell, vol. 8(1), pages 67-84.
- Longstaff, Francis A, 2001. "Optimal Portfolio Choice and the Valuation of Illiquid Securities," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 14(2), pages 407-31.
- Umut Çetin & Robert Jarrow & Philip Protter, 2004. "Liquidity risk and arbitrage pricing theory," Finance and Stochastics, Springer, Springer, vol. 8(3), pages 311-341, 08.
- Jarrow, Robert A., 1994. "Derivative Security Markets, Market Manipulation, and Option Pricing Theory," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 29(02), pages 241-261, June.
- Halil Mete Soner & Guy Barles, 1998. "Option pricing with transaction costs and a nonlinear Black-Scholes equation," Finance and Stochastics, Springer, Springer, vol. 2(4), pages 369-397.
- U. �etin & R. Jarrow & P. Protter & M. Warachka, 2006. "Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 19(2), pages 493-529.
- Alexandre Roch, 2011. "Liquidity risk, price impacts and the replication problem," Finance and Stochastics, Springer, Springer, vol. 15(3), pages 399-419, September.
- Rossella Agliardi & Ramazan Gençay, 2012. "Hedging through a Limit Order Book with Varying Liquidity," Working Paper Series, The Rimini Centre for Economic Analysis 12_12, The Rimini Centre for Economic Analysis.
- David German & Henry Schellhorn, 2012. "A No-Arbitrage Model of Liquidity in Financial Markets involving Brownian Sheets," Papers 1206.4804, arXiv.org.
- Peter Bank & Selim G\"okay, 2013. "Superreplication when trading at market indifference prices," Papers 1310.3113, arXiv.org.
- Frédéric Abergel & Grégoire Loeper, 2013. "Pricing and hedging contingent claims with liquidity costs and market impact," Working Papers hal-00802402, HAL.
- Feyzullah Egriboyun & H. Soner, 2010. "Optimal investment strategies with a reallocation constraint," Computational Statistics, Springer, Springer, vol. 71(3), pages 551-585, June.
- Yan Dolinsky & Halil Soner, 2013. "Duality and convergence for binomial markets with friction," Finance and Stochastics, Springer, Springer, vol. 17(3), pages 447-475, July.
- Olivier Gu\'eant & Jiang Pu, 2013. "Option pricing and hedging with execution costs and market impact," Papers 1311.4342, arXiv.org, revised Aug 2014.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F Baum).
If references are entirely missing, you can add them using this form.