Hedging with Liquidity Risk under CEV Diffusion
Sign Up to like & getrecommendations! Published in 2020 at "Risks"
DOI: 10.3390/risks8020062
Abstract: We study a discrete time hedging and pricing problem in a market with the liquidity risk. We consider a discrete version of the constant elasticity of variance (CEV) model by applying Leland’s discrete time replication… read more here.
Keywords: hedging liquidity; liquidity risk; risk cev; liquidity ... See more keywords