Duality and Convergence for Binomial Markets with Friction
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References listed on IDEAS
- Umut Çetin & L. C. G. Rogers, 2007. "Modeling Liquidity Effects In Discrete Time," Mathematical Finance, Wiley Blackwell, vol. 17(1), pages 15-29.
- Umut Çetin & Robert A. Jarrow & Philip Protter, 2008. "Liquidity risk and arbitrage pricing theory," World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 8, pages 153-183 World Scientific Publishing Co. Pte. Ltd..
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- Christian Bayer & Bezirgen Veliyev, 2014.
"Utility Maximization In A Binomial Model With Transaction Costs: A Duality Approach Based On The Shadow Price Process,"
International Journal of Theoretical and Applied Finance (IJTAF),
World Scientific Publishing Co. Pte. Ltd., vol. 17(04), pages 1-27.
- Christian Bayer & Bezirgen Veliyev, 2012. "Utility Maximization in a Binomial Model with transaction costs: a Duality Approach Based on the Shadow Price Process," Papers 1209.5175, arXiv.org.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-06-18 (All new papers)
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