A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES
Year of publication: |
2008
|
---|---|
Authors: | Pham, Huyên ; Tankov, Peter |
Published in: |
Mathematical Finance. - Wiley Blackwell, ISSN 0960-1627. - Vol. 18.2008, 4, p. 613-627
|
Publisher: |
Wiley Blackwell |
Saved in:
freely available
Saved in favorites
Similar items by person
-
A model of optimal consumption under liquidity risk with random trading times
Pham, Huyên, (2008)
-
Optimal consumption policies in illiquid markets
Cretarola, Alessandra, (2011)
-
Swing options valuation : a BSDE with constrained jumps approach
Bernhart, Marie, (2012)
- More ...