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Search: subject:"Stochastic liquidity"
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Stochastischer Prozess
11
Liquidity
10
Liquidität
10
Stochastic process
10
Option pricing theory
7
Optionspreistheorie
7
Market liquidity
6
Marktliquidität
6
Theorie
5
Derivat
4
Derivative
4
Portfolio selection
4
Portfolio-Management
4
Stochastic liquidity
4
Stochastic liquidity risk
4
Theory
4
Volatility
4
Volatilität
4
stochastic liquidity
4
Börsenkurs
3
Credit risk
3
Kreditrisiko
3
Bid-ask spread
2
Default risk
2
Geld-Brief-Spanne
2
Handelsvolumen der Börse
2
Mathematical programming
2
Mathematische Optimierung
2
Option trading
2
Optionsgeschäft
2
Risiko
2
Risikoprämie
2
Risk
2
Risk premium
2
Share price
2
Swap
2
Trading volume
2
Wertpapierhandel
2
stochastic volatility
2
Bellman equation
1
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Undetermined
10
Free
3
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Article
11
Book / Working Paper
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Article in journal
11
Aufsatz in Zeitschrift
11
Working Paper
2
Arbeitspapier
1
Graue Literatur
1
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1
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English
13
Undetermined
1
Author
All
Wang, Xingchun
3
Leippold, Markus
2
Schärer, Steven
2
Becherer, Dirk
1
Bilarev, Todor
1
Cai, Chengyou
1
Cheridito, Patrick
1
Dong, Ziming
1
Esser, Angelika
1
Frentrup, Peter
1
Guo, Xun-xiang
1
He, Xin-Jiang
1
Ji, Min
1
Lin, Sha
1
Makimoto, Naoki
1
Min, Xiaoping
1
Mönch, Burkart
1
Sepin, Tardu
1
Souza, Max O.
1
Stereńczak, Szymon
1
Sugihara, Yoshihiko
1
Tang, Dan
1
Thamsten, Y.
1
Wang, Ke
1
Yu, Baimin
1
Zhang, Hong-yu
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Institute for Monetary and Economic Studies, Bank of Japan
1
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Applied mathematical finance
2
The North American journal of economics and finance : a journal of financial economics studies
2
The North American journal of economics and finance : a journal of theory and practice
2
Finance and stochastics
1
IMES Discussion Paper Series
1
International review of financial analysis
1
Journal of banking & finance
1
Research paper series / Swiss Finance Institute
1
Review of derivatives research
1
Risks : open access journal
1
Swiss Finance Institute Research Paper
1
Working Paper Series: Finance & Accounting
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ECONIS (ZBW)
12
EconStor
1
RePEc
1
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1
The liquidity premium in China’s corporate bond market : a
stochastic
liquidity
discount approach
Min, Xiaoping
;
Ji, Min
- In:
Risks : open access journal
10
(
2022
)
7
,
pp. 1-16
stochastic
liquidity
discount factor model to evaluate the liquidity risk premium and its term structure in China’s corporate …
Persistent link: https://www.econbiz.de/10013365115
Saved in:
2
Valuations of generalized variance swaps under the jump-diffusion model with
stochastic
liquidity
risk
Wang, Ke
;
Guo, Xun-xiang
;
Zhang, Hong-yu
- In:
The North American journal of economics and finance : a …
73
(
2024
),
pp. 1-27
Persistent link: https://www.econbiz.de/10014581051
Saved in:
3
Pricing vulnerable spread options with liquidity risk under Lévy processes
Cai, Chengyou
;
Wang, Xingchun
;
Yu, Baimin
- In:
The North American journal of economics and finance : a …
72
(
2024
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014534807
Saved in:
4
Analytically pricing variance and volatility swaps under a Markov-modulated model with liquidity risks
He, Xin-Jiang
;
Lin, Sha
- In:
The North American journal of economics and finance : a …
67
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014483995
Saved in:
5
Pricing vulnerable basket spread options with liquidity risk
Dong, Ziming
;
Tang, Dan
;
Wang, Xingchun
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 23-50
Persistent link: https://www.econbiz.de/10014266355
Saved in:
6
Pricing vulnerable options with
stochastic
liquidity
risk
Wang, Xingchun
- In:
The North American journal of economics and finance : a …
60
(
2022
),
pp. 1-10
Persistent link: https://www.econbiz.de/10013449096
Saved in:
7
On regularized optimal execution problems and their singular limits
Souza, Max O.
;
Thamsten, Y.
- In:
Applied mathematical finance
29
(
2022
)
2
,
pp. 79-109
Persistent link: https://www.econbiz.de/10013554788
Saved in:
8
Stock liquidity premium with stochastic price impact and exogenous trading strategy
Stereńczak, Szymon
- In:
International review of financial analysis
71
(
2020
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012435748
Saved in:
9
Optimal liquidation under
stochastic
liquidity
Becherer, Dirk
;
Bilarev, Todor
;
Frentrup, Peter
- In:
Finance and stochastics
22
(
2018
)
1
,
pp. 39-68
Persistent link: https://www.econbiz.de/10011945624
Saved in:
10
Discrete-time option pricing with
stochastic
liquidity
Leippold, Markus
;
Schärer, Steven
- In:
Journal of banking & finance
75
(
2017
),
pp. 1-16
Persistent link: https://www.econbiz.de/10011742148
Saved in:
1
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