Optimal consumption policies in illiquid markets
✍ Scribed by Alessandra Cretarola; Fausto Gozzi; Huyên Pham; Peter Tankov
- Publisher
- Springer-Verlag
- Year
- 2010
- Tongue
- English
- Weight
- 709 KB
- Volume
- 15
- Category
- Article
- ISSN
- 0949-2984
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
Implied trees are necessary to implement the risk neutral valuation approach, and standard methodologies for their derivation are based on the validity of the put call parity. However, in illiquid markets the put call parity fails to hold, and the uniqueness of the artificial probabilities leaves ro
Nowadays market liquidity has become an issue of very high concern in financial risk management. This paper deals with the numerical analysis and computing of nonlinear models of option pricing that appear when illiquid market effects are taken into account. A consistent monotone finite difference s