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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
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Optimal liquidation problem in illiquid markets
Sadoghi, Amirhossein; Večeř, Jan - In: European journal of operational research : EJOR 296 (2022) 3, pp. 1050-1066
Persistent link: https://www.econbiz.de/10013256904
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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
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Optimal liquidation trajectories for the Almgren-Chriss model
Løkka, Arne; Xu, Junwei - In: International journal of theoretical and applied finance 23 (2020) 7, pp. 1-35
Persistent link: https://www.econbiz.de/10012496903
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Utility maximization in an illiquid market in continuous time
Soner, Halil Mete; Vukelja, Mirjana - In: Mathematical methods of operations research 84 (2016) 2, pp. 285-321
Persistent link: https://www.econbiz.de/10011673528
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Insider trading, stochastic liquidity, and equilibrium prices
Collin-Dufresne, Pierre; Fos, Vyacheslav - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 4, pp. 1441-1475
Persistent link: https://www.econbiz.de/10011611102
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Discrete-time option pricing with stochastic liquidity
Leippold, Markus; Schärer, Steven - 2016
Classical option pricing theories are usually built on the law of one price, neglecting the impact of market liquidity … liquidity model, extending the discrete-time constant liquidity model of Madan (2010). With this extension, we can replicate the … stochastic liquidity model within our framework using multidimensional binomial trees and we calibrate it to call and put options …
Persistent link: https://www.econbiz.de/10011515968
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Continuous-time Markowitz's model with constraints on wealth and portfolio
Li, Xun; Xu, Zuo Quan - In: Operations research letters 44 (2016) 6, pp. 729-736
Persistent link: https://www.econbiz.de/10011622222
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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
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A span of continuous trades and liquidity dynamics in foreign exchange markets
Chien, Chih-Chung; Chen, Shikuan; Chang, Ming-Jen - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 144-168
Persistent link: https://www.econbiz.de/10014253161