Option hedging for small investors under liquidity costs
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DOI: 10.1007/s00780-009-0116-x
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References listed on IDEAS
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More about this item
Keywords
Super-replication; Liquidity cost; Gamma process; Parabolic majorant; PDE valuation; 91B28; 35K55; 60H30; C61; G13; D52;All these keywords.
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
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