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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…
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Keywords:
hedging liquidity;
liquidity risk;
risk cev;
liquidity ... See more keywords