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Liquidity risk and arbitrage pricing theory

Citations

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Cited by:

  1. Ku, Hyejin & Lee, Kiseop & Zhu, Huaiping, 2012. "Discrete time hedging with liquidity risk," Finance Research Letters, Elsevier, vol. 9(3), pages 135-143.
  2. Csóka, Péter & Herings, P. Jean-Jacques, 2014. "Risk allocation under liquidity constraints," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 1-9.
  3. Villena, Marcelo J. & Reus, Lorenzo, 2016. "On the strategic behavior of large investors: A mean-variance portfolio approach," European Journal of Operational Research, Elsevier, vol. 254(2), pages 679-688.
  4. Robert Jarrow, 2018. "Asset market equilibrium with liquidity risk," Annals of Finance, Springer, vol. 14(2), pages 253-288, May.
  5. Marcel Blais & Philip Protter, 2012. "Signing trades and an evaluation of the Lee–Ready algorithm," Annals of Finance, Springer, vol. 8(1), pages 1-13, February.
  6. Masaaki Kijima & Christopher Ting, 2019. "Market Price Of Trading Liquidity Risk And Market Depth," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-36, December.
  7. Peter Bank & Yan Dolinsky, 2018. "Scaling Limits for Super--replication with Transient Price Impact," Papers 1810.07832, arXiv.org, revised Dec 2019.
  8. Dylan Possamai & Nizar Touzi & H. Mete Soner, 2012. "Large liquidity expansion of super-hedging costs," Papers 1208.3785, arXiv.org, revised Apr 2015.
  9. Panagiotis Christodoulou & Nils Detering & Thilo Meyer-Brandis, 2018. "Local Risk-Minimization With Multiple Assets Under Illiquidity With Applications In Energy Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-44, June.
  10. David German & Henry Schellhorn, 2012. "A No-Arbitrage Model of Liquidity in Financial Markets involving Brownian Sheets," Papers 1206.4804, arXiv.org.
  11. B Bouchard & G Loeper & Y Zou, 2015. "Hedging of covered options with linear market impact and gamma constraint," Working Papers hal-01247523, HAL.
  12. Li, Zhe & Zhang, Wei-Guo & Liu, Yong-Jun & Zhang, Yue, 2019. "Pricing discrete barrier options under jump-diffusion model with liquidity risk," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 347-368.
  13. Masaaki Fujii, 2015. "Optimal Position Management for a Market Maker with Stochastic Price Impacts," CIRJE F-Series CIRJE-F-963, CIRJE, Faculty of Economics, University of Tokyo.
  14. Jocelyne Bion-Nadal, 2008. "Time Consistent Dynamic Limit Order Books Calibrated on Options," Papers 0809.3824, arXiv.org.
  15. Peter Bank & Ibrahim Ekren & Johannes Muhle-Karbe, 2018. "Liquidity in Competitive Dealer Markets," Papers 1807.08278, arXiv.org, revised Jun 2020.
  16. Aurélien Alfonsi & José Infante Acevedo, 2014. "Optimal execution and price manipulations in time-varying limit order books," Post-Print hal-00687193, HAL.
  17. Dolinsky, Yan & Zouari, Jonathan, 2021. "The value of insider information for super-replication with quadratic transaction costs," Stochastic Processes and their Applications, Elsevier, vol. 131(C), pages 394-416.
  18. Bruno Bouchard & Xiaolu Tan, 2019. "Understanding the dual formulation for the hedging of path-dependent options with price impact," Working Papers hal-02398881, HAL.
  19. Aur'elien Alfonsi & Antje Fruth & Alexander Schied, 2007. "Optimal execution strategies in limit order books with general shape functions," Papers 0708.1756, arXiv.org, revised Feb 2010.
  20. Bruno Bouchard & Grégoire Loeper & Yiyi Zou, 2016. "Almost-sure hedging with permanent price impact," Finance and Stochastics, Springer, vol. 20(3), pages 741-771, July.
  21. Leippold, Markus & Schärer, Steven, 2017. "Discrete-time option pricing with stochastic liquidity," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 1-16.
  22. Sang-Hyeon Park & Kiseop Lee, 2020. "Hedging with Liquidity Risk under CEV Diffusion," Risks, MDPI, Open Access Journal, vol. 8(2), pages 1-12, June.
  23. Hevér, Judit, 2017. "A likviditás és a permanens árhatás szerepe a portfólióértékelésben [The role of liquidity policy and permanent price impact in portfolio valuation]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 594-611.
  24. Gregoire Loeper, 2013. "Option pricing with linear market impact and non-linear Black and Scholes equations," Papers 1301.6252, arXiv.org, revised Aug 2016.
  25. Damiano Brigo & Mirela Predescu & Agostino Capponi, 2010. "Credit Default Swaps Liquidity modeling: A survey," Papers 1003.0889, arXiv.org, revised Mar 2010.
  26. Dirk Becherer & Todor Bilarev & Peter Frentrup, 2017. "Stability for gains from large investors' strategies in M1/J1 topologies," Papers 1701.02167, arXiv.org, revised Mar 2018.
  27. Peter Bank & Dmitry Kramkov, 2011. "A model for a large investor trading at market indifference prices. I: single-period case," Papers 1110.3224, arXiv.org, revised Dec 2013.
  28. Masaaki Fukasawa, 2014. "Efficient discretization of stochastic integrals," Finance and Stochastics, Springer, vol. 18(1), pages 175-208, January.
  29. Lepinette, Emmanuel & Tran, Tuan, 2017. "Arbitrage theory for non convex financial market models," Stochastic Processes and their Applications, Elsevier, vol. 127(10), pages 3331-3353.
  30. Vortelinos, Dimitrios I., 2014. "Non-parametric analysis of equity arbitrage," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 199-216.
  31. Frank Milne, 2008. "Credit Crises, Risk Management Systems and Liquidity Modelling," Working Papers 1, John Deutsch Institute for the Study of Economic Policy.
  32. David German, 2009. "Hedging in an equilibrium-based model for a large investor," Papers 0910.3258, arXiv.org.
  33. Peter Bank & Yan Dolinsky & Selim Gokay, 2014. "Super-replication with nonlinear transaction costs and volatility uncertainty," Papers 1411.1229, arXiv.org, revised Jun 2015.
  34. Peter Bank & Dmitry Kramkov, 2011. "A model for a large investor trading at market indifference prices. II: Continuous-time case," Papers 1110.3229, arXiv.org, revised Sep 2015.
  35. Bruno Bouchard & G Loeper & Y Zou, 2016. "Almost-sure hedging with permanent price impact," Post-Print hal-01133223, HAL.
  36. Frédéric Abergel & Grégoire Loeper, 2013. "Pricing and hedging contingent claims with liquidity costs and market impact," Working Papers hal-00802402, HAL.
  37. Koichi Matsumoto, 2007. "Portfolio Insurance with Liquidity Risk," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(4), pages 363-386, December.
  38. Koichi Matsumoto, 2009. "Mean-Variance Hedging with Uncertain Trade Execution," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(3), pages 219-252.
  39. Sergey Lototsky & Henry Schellhorn & Ran Zhao, 2016. "A String Model of Liquidity in Financial Markets," Papers 1608.05900, arXiv.org, revised Apr 2018.
  40. Li, Zhe & Zhang, Wei-Guo & Liu, Yong-Jun, 2018. "Analytical valuation for geometric Asian options in illiquid markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 175-191.
  41. Yan Dolinsky & Halil Soner, 2013. "Duality and convergence for binomial markets with friction," Finance and Stochastics, Springer, vol. 17(3), pages 447-475, July.
  42. Patrick Cheridito & Michael Kupper & Ludovic Tangpi, 2016. "Duality formulas for robust pricing and hedging in discrete time," Papers 1602.06177, arXiv.org, revised Sep 2017.
  43. Carlo Acerbi & Giacomo Scandolo, 2008. "Liquidity risk theory and coherent measures of risk," Quantitative Finance, Taylor & Francis Journals, vol. 8(7), pages 681-692.
  44. Jan Kallsen & Johannes Muhle-Karbe, 2014. "High-Resilience Limits of Block-Shaped Order Books," Papers 1409.7269, arXiv.org.
  45. Ernst, Cornelia & Stange, Sebastian & Kaserer, Christoph, 2012. "Measuring market liquidity risk - which model works best?," Journal of Financial Transformation, Capco Institute, vol. 35, pages 133-146.
  46. Alexandre Roch, 2011. "Liquidity risk, price impacts and the replication problem," Finance and Stochastics, Springer, vol. 15(3), pages 399-419, September.
  47. Mariani, Francesca & Recchioni, Maria Cristina & Ciommi, Mariateresa, 2019. "Merton’s portfolio problem including market frictions: A closed-form formula supporting the shadow price approach," European Journal of Operational Research, Elsevier, vol. 275(3), pages 1178-1189.
  48. Robert Jarrow & Philip Protter, 2020. "Credit Risk, Liquidity, and Bubbles," International Review of Finance, International Review of Finance Ltd., vol. 20(3), pages 737-746, September.
  49. Schoeneborn, Torsten & Schied, Alexander, 2007. "Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision," MPRA Paper 5548, University Library of Munich, Germany.
  50. Deuskar, Prachi & Gupta, Anurag & Subrahmanyam, Marti G., 2011. "Liquidity effect in OTC options markets: Premium or discount?," Journal of Financial Markets, Elsevier, vol. 14(1), pages 127-160, February.
  51. Masaaki Kijima & Christopher Ting, 2019. "Market Price of Trading Liquidity Risk and Market Depth," Papers 1912.04565, arXiv.org.
  52. Aur'elien Alfonsi & Jos'e Infante Acevedo, 2012. "Optimal execution and price manipulations in time-varying limit order books," Papers 1204.2736, arXiv.org.
  53. B Bouchard & G Loeper & Y Zou, 2015. "Almost-sure hedging with permanent price impact," Working Papers hal-01133223, HAL.
  54. Oleksii Patsiuk & Sergii Kovalenko, 2015. "Symmetry reduction and exact solutions of the non-linear Black--Scholes equation," Papers 1512.06151, arXiv.org, revised Mar 2018.
  55. Frédéric Abergel & Nicolas Millot, 2011. "Non Quadratic Local Risk-Minimization for Hedging Contingent Claims in the Presence of Transaction Costs," Working Papers hal-00621256, HAL.
  56. Ying Chen & Wee Song Chua & Wolfgang Karl Härdle, 2019. "Forecasting limit order book liquidity supply–demand curves with functional autoregressive dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 19(9), pages 1473-1489, September.
  57. Peter Bank & Selim Gökay, 2016. "Superreplication when trading at market indifference prices," Finance and Stochastics, Springer, vol. 20(1), pages 153-182, January.
  58. B. Bouchard & G. Loeper & Y. Zou, 2015. "Almost-sure hedging with permanent price impact," Papers 1503.05475, arXiv.org.
  59. Alessio Caldarera & Celso Brunetti, 2005. "Asset Prices and Asset Correlations in Illiquid Markets," 2005 Meeting Papers 288, Society for Economic Dynamics.
  60. Kaj Nystrom & Mikko Parviainen, 2014. "Tug-of-war, market manipulation and option pricing," Papers 1410.1664, arXiv.org.
  61. Umut Çetin & L. C. G. Rogers, 2007. "Modeling Liquidity Effects In Discrete Time," Mathematical Finance, Wiley Blackwell, vol. 17(1), pages 15-29, January.
  62. Christopoulos, Andreas D. & Jarrow, Robert A., 2018. "CMBS market efficiency: The crisis and the recovery," Journal of Financial Stability, Elsevier, vol. 36(C), pages 159-186.
  63. Emmanuel Lépinette & Ilya Molchanov, 2021. "Risk arbitrage and hedging to acceptability under transaction costs," Finance and Stochastics, Springer, vol. 25(1), pages 101-132, January.
  64. Çağin Ararat & Andreas H. Hamel & Birgit Rudloff, 2017. "Set-Valued Shortfall And Divergence Risk Measures," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(05), pages 1-48, August.
  65. Erindi Allaj, 2013. "Implicit transaction costs and the fundamental theorems of asset pricing," Papers 1310.1882, arXiv.org, revised Jul 2017.
  66. Olivier Gu'eant & Jiang Pu, 2013. "Option pricing and hedging with execution costs and market impact," Papers 1311.4342, arXiv.org, revised Apr 2015.
  67. Etienne Chevalier & Vathana Ly Vath & Simone Scotti & Alexandre Roch, 2016. "Optimal Execution Cost For Liquidation Through A Limit Order Market," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-26, February.
  68. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
  69. B Bouchard & G Loeper & Y Zou, 2015. "Hedging of covered options with linear market impact and gamma constraint," Papers 1512.07087, arXiv.org.
  70. Bruno Bouchard & Xiaolu Tan, 2019. "Understanding the dual formulation for the hedging of path-dependent options with price impact," Papers 1912.03946, arXiv.org, revised Jan 2020.
  71. Jocelyne Bion-Nadal, 2007. "Bid-Ask Dynamic Pricing in Financial Markets with Transaction Costs and Liquidity Risk," Papers math/0703074, arXiv.org.
  72. David German, 2010. "Pricing in an equilibrium based model for a large investor," Papers 1007.3316, arXiv.org.
  73. Xu, Ruxing & Li, Shenghong, 2010. "Belief updating, debt pricing and financial decisions under asymmetric information," Research in International Business and Finance, Elsevier, vol. 24(2), pages 123-137, June.
  74. Ljudmila A. Bordag & Ruediger Frey, 2007. "Nonlinear option pricing models for illiquid markets: scaling properties and explicit solutions," Papers 0708.1568, arXiv.org.
  75. c{C}au{g}{i}n Ararat & Andreas H. Hamel & Birgit Rudloff, 2014. "Set-valued shortfall and divergence risk measures," Papers 1405.4905, arXiv.org, revised Sep 2017.
  76. Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui, 2018. "Illiquidity Premia in the Equity Options Market," Review of Financial Studies, Society for Financial Studies, vol. 31(3), pages 811-851.
  77. Peter Bank & Selim Gokay, 2013. "Superreplication when trading at market indifference prices," Papers 1310.3113, arXiv.org.
  78. Masaaki Fukasawa, 2014. "Efficient price dynamics in a limit order market: an utility indifference approach," Papers 1410.8224, arXiv.org.
  79. Peter Bank & Selim Gökay, 2016. "Superreplication when trading at market indifference prices," Finance and Stochastics, Springer, vol. 20(1), pages 153-182, January.
  80. Astic, Fabian & Touzi, Nizar, 2007. "No arbitrage conditions and liquidity," Journal of Mathematical Economics, Elsevier, vol. 43(6), pages 692-708, August.
  81. Yan Dolinsky & Jonathan Zouari, 2019. "The Value of Insider Information for Super--Replication with Quadratic Transaction Costs," Papers 1910.09855, arXiv.org, revised Sep 2020.
  82. Salvatore Federico & Paul Gassiat, 2014. "Viscosity Characterization of the Value Function of an Investment-Consumption Problem in Presence of an Illiquid Asset," Journal of Optimization Theory and Applications, Springer, vol. 160(3), pages 966-991, March.
  83. Teemu Pennanen, 2008. "Arbitrage and deflators in illiquid markets," Papers 0807.2526, arXiv.org, revised Apr 2009.
  84. Kristoffer Glover & Peter W Duck & David P Newton, 2010. "On nonlinear models of markets with finite liquidity: Some cautionary notes," Published Paper Series 2010-5, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  85. Paolo Guasoni & Mikl'os R'asonyi, 2015. "Hedging, arbitrage and optimality with superlinear frictions," Papers 1506.05895, arXiv.org.
  86. Erindi Allaj, 2014. "Risk measuring under liquidity risk," Papers 1412.6745, arXiv.org.
  87. Yoshihiko Uchida & Daisuke Yoshikawa, 2014. "A Pricing Theory under a Finite Number of Securities Issued: A Synthesis of "Market Microstructure" and "Mathematical Finance"," IMES Discussion Paper Series 14-E-04, Institute for Monetary and Economic Studies, Bank of Japan.
  88. Aurelien Alfonsi & Antje Fruth & Alexander Schied, 2010. "Optimal execution strategies in limit order books with general shape functions," Quantitative Finance, Taylor & Francis Journals, vol. 10(2), pages 143-157.
  89. Gill, Ryan & Lee, Kiseop & Song, Seongjoo, 2007. "Computation of estimates in segmented regression and a liquidity effect model," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6459-6475, August.
  90. Soner, H. Mete & Cetin, Umut & Touzi, Nizar, 2010. "Option hedging for small investors under liquidity costs," LSE Research Online Documents on Economics 28992, London School of Economics and Political Science, LSE Library.
  91. Andreas D. Christopoulos & Robert A. Jarrow & Yildiray Yildirim, 2008. "Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 36(3), pages 441-498, September.
  92. repec:dau:papers:123456789/5526 is not listed on IDEAS
  93. Baojun Bian & Nan Wu & Harry Zheng, 2012. "Optimal Liquidation in a Finite Time Regime Switching Model with Permanent and Temporary Pricing Impact," Papers 1212.3145, arXiv.org, revised Oct 2014.
  94. Ludovic Mathys, 2019. "Valuing Tradeability in Exponential L\'evy Models," Papers 1912.00469, arXiv.org, revised Feb 2020.
  95. Joaquin Fernandez-Tapia & Olivier Gu'eant, 2020. "Recipes for hedging exotics with illiquid vanillas," Papers 2005.10064, arXiv.org, revised May 2020.
  96. Bruno Bouchard & G. Loeper & Y. Zou, 2017. "Hedging of covered options with linear market impact and gamma constraint," Post-Print hal-01611790, HAL.
  97. Rossella Agliardi & Ramazan Gençay, 2012. "Hedging through a Limit Order Book with Varying Liquidity," Working Paper series 12_12, Rimini Centre for Economic Analysis.
  98. Olivier Guéant & Jiang Pu, 2015. "Option pricing and hedging with execution costs and market impact," Post-Print hal-01393124, HAL.
  99. Panagiotis Christodoulou & Nils Detering & Thilo Meyer-Brandis, 2017. "Local risk-minimization with multiple assets under illiquidity with applications in energy markets," Papers 1705.06918, arXiv.org, revised Jun 2018.
  100. Li, Zhe & Zhang, Weiguo & Zhang, Yue & Yi, Zhigao, 2019. "An analytical approximation approach for pricing European options in a two-price economy," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  101. Bion-Nadal, Jocelyne, 2009. "Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk," Journal of Mathematical Economics, Elsevier, vol. 45(11), pages 738-750, December.
  102. Peter Diesinger & Holger Kraft & Frank Seifried, 2010. "Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?," Finance and Stochastics, Springer, vol. 14(3), pages 343-374, September.
  103. Elettra Agliardi & Rainer Andergassen, 2011. "(S,s)-adjustment Strategies and Hedging under Markovian Dynamics," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 36(2), pages 112-131, December.
  104. repec:spr:compst:v:71:y:2010:i:3:p:551-585 is not listed on IDEAS
  105. Yan Dolinsky & Halil Mete Soner, 2011. "Duality and Convergence for Binomial Markets with Friction," Papers 1106.2095, arXiv.org.
  106. Erindi Allaj, 2017. "Implicit Transaction Costs And The Fundamental Theorems Of Asset Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(04), pages 1-39, June.
  107. Li, Zhe & Zhang, Wei-Guo & Liu, Yong-Jun, 2018. "European quanto option pricing in presence of liquidity risk," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 230-244.
  108. Bruno Bouchard & G Loeper & Y Zou, 2017. "Hedging of covered options with linear market impact and gamma constraint," Post-Print hal-01247523, HAL.
  109. Shiva Chandra & Andrew Papanicolaou, 2019. "Singular Perturbation Expansion For Utility Maximization With Order-," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(07), pages 1-18, November.
  110. Csóka, Péter & Hevér, Judit, 2018. "Portfolio valuation under liquidity constraints with permanent price impact," Finance Research Letters, Elsevier, vol. 26(C), pages 235-241.
  111. Csóka, Péter & Herings, P. Jean-Jacques, 2014. "Risk allocation under liquidity constraints," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 1-9.
  112. Alexandre F. Roch, 2008. "Liquidity Risk, Price Impacts and the Replication Problem," Papers 0812.2440, arXiv.org, revised Dec 2009.
  113. Erhan Bayraktar & Ulrich Horst & Ronnie Sircar, 2007. "Queueing Theoretic Approaches to Financial Price Fluctuations," Papers math/0703832, arXiv.org.
  114. Przemys{l}aw Rola, 2014. "Arbitrage in markets with bid-ask spreads," Papers 1407.3372, arXiv.org.
  115. Csóka, Péter, 2017. "Fair risk allocation in illiquid markets," Finance Research Letters, Elsevier, vol. 21(C), pages 228-234.
  116. Masaaki Fujii, 2015. "Optimal Position Management for a Market Maker with Stochastic Price Impacts," CARF F-Series CARF-F-360, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Sep 2015.
  117. H. Mete Soner & Mirjana Vukelja, 2016. "Utility maximization in an illiquid market in continuous time," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 84(2), pages 285-321, October.
  118. Feyzullah Egriboyun & H. Soner, 2010. "Optimal investment strategies with a reallocation constraint," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(3), pages 551-585, June.
  119. Kraft, Holger & Kühn, Christoph, 2011. "Large traders and illiquid options: Hedging vs. manipulation," Journal of Economic Dynamics and Control, Elsevier, vol. 35(11), pages 1898-1915.
  120. Feng-Tse Tsai, 2019. "Option Implied Stock Buy-Side and Sell-Side Market Depths," Risks, MDPI, Open Access Journal, vol. 7(4), pages 1-16, October.
  121. Umut Çetin & H. Soner & Nizar Touzi, 2010. "Option hedging for small investors under liquidity costs," Finance and Stochastics, Springer, vol. 14(3), pages 317-341, September.
  122. Robert Jarrow, 2007. "A Critique of Revised Basel II," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(1), pages 1-16, October.
  123. Gao, Rui & Li, Yaqiong & Lin, Lisha, 2019. "Bayesian statistical inference for European options with stock liquidity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 518(C), pages 312-322.
  124. Csóka, Péter, 2017. "Fair risk allocation in illiquid markets," Finance Research Letters, Elsevier, vol. 21(C), pages 228-234.
  125. Dirk Becherer & Todor Bilarev, 2018. "Hedging with transient price impact for non-covered and covered options," Papers 1807.05917, arXiv.org.
  126. Pekka Malo & Teemu Pennanen, 2012. "Reduced form modeling of limit order markets," Quantitative Finance, Taylor & Francis Journals, vol. 12(7), pages 1025-1036, April.
  127. Choy, Siu Kai & Wei, Jason, 2020. "Liquidity risk and expected option returns," Journal of Banking & Finance, Elsevier, vol. 111(C).
  128. Peter Bank & Dmitry Kramkov, 2015. "A model for a large investor trading at market indifference prices. I: Single-period case," Finance and Stochastics, Springer, vol. 19(2), pages 449-472, April.
  129. Maria do Rosário Grossinho & Yaser Kord Faghan & Daniel Ševčovič, 2017. "Pricing Perpetual Put Options by the Black–Scholes Equation with a Nonlinear Volatility Function," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(4), pages 291-308, December.
  130. Peter Bank & Moritz Vo{ss}, 2018. "Optimal investment with transient price impact," Papers 1804.07392, arXiv.org.
  131. repec:hal:wpaper:hal-00687193 is not listed on IDEAS
  132. Thomas Krabichler & Josef Teichmann, 2020. "A constraint-based notion of illiquidity," Papers 2004.12394, arXiv.org.
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