Çetin, Umut; Jarrow, Robert; Protter, Philip - In: Finance and Stochastics 8 (2004) 3, pp. 311-341
Classical theories of financial markets assume an infinitely liquid market and that all traders act as price takers. This theory is a good approximation for highly liquid stocks, although even there it does not apply well for large traders or for modelling transaction costs. We extend the...