๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Optimal sale strategies in illiquid markets

โœ Scribed by Martin Dahlgren

Publisher
Springer
Year
2005
Tongue
English
Weight
334 KB
Volume
61
Category
Article
ISSN
0340-9422

No coin nor oath required. For personal study only.

๐Ÿ“œ SIMILAR VOLUMES

Optimal consumption policies in illiquid
Optimal consumption policies in illiquid markets
โœ Alessandra Cretarola; Fausto Gozzi; Huyรชn Pham; Peter Tankov ๐Ÿ“‚ Article ๐Ÿ“… 2010 ๐Ÿ› Springer-Verlag ๐ŸŒ English โš– 709 KB
Implied trees in illiquid markets: A Cho
Implied trees in illiquid markets: A Choquet pricing approach
โœ Silvia Muzzioli; Costanza Torricelli ๐Ÿ“‚ Article ๐Ÿ“… 2002 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 125 KB

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