Option hedging for small investors under liquidity costs
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Volume (Year): 14 (2010)
Issue (Month): 3 (September)
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References listed on IDEAS
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- Eckhard Platen & Martin Schweizer, 1998.
"On Feedback Effects from Hedging Derivatives,"
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, vol. 14(2), pages 407-431.
- U. Çetin & 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, vol. 19(2), pages 493-529.
- U. Çetin & R. Jarrow & P. Protter & M. Warachka, 2008. "Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 9, pages 185-221 World Scientific Publishing Co. Pte. Ltd..
- Jaksa Cvitanić & Ioannis Karatzas, 1996. "HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH-super-2," Mathematical Finance, Wiley Blackwell, vol. 6(2), pages 133-165.
- RØdiger Frey, 1998. "Perfect option hedging for a large trader," Finance and Stochastics, Springer, vol. 2(2), pages 115-141.
- Halil Mete Soner & Guy Barles, 1998. "Option pricing with transaction costs and a nonlinear Black-Scholes equation," Finance and Stochastics, Springer, vol. 2(4), pages 369-397.
- Umut Çetin & Robert Jarrow & Philip Protter, 2004.
"Liquidity risk and arbitrage pricing theory,"
Finance and Stochastics,
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, vol. 29(02), pages 241-261, June.
- Robert A. Jarrow, 2008. "Derivative Security Markets, Market Manipulation, and Option Pricing Theory," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 7, pages 131-151 World Scientific Publishing Co. Pte. Ltd..
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