Hedging with liquidity risk under CEV diffusion
Year of publication: |
2020
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Authors: | Park, Sang-Hyeon ; Lee, Kiseop |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 8.2020, 2/62, p. 1-12
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Subject: | discrete time hedging | liquidity risk | asymptotic expansion | CEV diffusion | Theorie | Theory | Hedging | Portfolio-Management | Portfolio selection |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks8020062 [DOI] hdl:10419/258015 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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