𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Discrete time hedging with liquidity risk

✍ Scribed by Ku, Hyejin; Lee, Kiseop; Zhu, Huaiping

Book ID
118447325
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
216 KB
Volume
9
Category
Article
ISSN
1544-6123

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Liquidity risk and the hedging role of o
Liquidity risk and the hedging role of options
✍ Kit Pong Wong; Jianguo Xu πŸ“‚ Article πŸ“… 2006 πŸ› John Wiley and Sons 🌐 English βš– 171 KB πŸ‘ 2 views

This study examines the impact of liquidity risk on the behavior of the competitive firm under price uncertainty in a dynamic two-period setting. The firm has access to unbiased one-period futures and option contracts in each period for hedging purposes. A liquidity constraint is imposed on the firm

Hedging time-varying downside risk
Hedging time-varying downside risk
✍ Lien, Donald; Tse, Yiu Kuen πŸ“‚ Article πŸ“… 1998 πŸ› John Wiley and Sons 🌐 English βš– 229 KB

We would like to compare futures with options, unfortunately we do not have an option contract that matches the time period of our study. SIMEX has an option on the Nikkei 225 with a much shorter history. Moreover, even if such a contract exists, it would be very thin (as we have experienced in comp