Liquidity risk, price impacts and the replication problem
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References listed on IDEAS
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More about this item
KeywordsLiquidity risk; BSDEs; Stochastic volatility; Price impacts; 60H30; 60G35; 91B24; 91B30; D40; G13;
- D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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