Large liquidity expansion of super-hedging costs
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- 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..
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"Liquidity risk and arbitrage pricing theory,"
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Mathematical Finance, Wiley Blackwell, vol. 17(1), pages 15-29, January.
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Cited by:
- Peter Bank & Selim Gokay, 2013. "Superreplication when trading at market indifference prices," Papers 1310.3113, arXiv.org.
- Bruno Bouchard & Ludovic Moreau & Mete H. Soner, 2013. "Hedging under an expected loss constraint with small transaction costs," Papers 1309.4916, arXiv.org, revised Sep 2014.
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