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SIAM Journal on Applied Mathematics

Volumn 61, Issue 1, 2000, Pages 232-272

The feedback effect of hedging in illiquid markets

(2) Schonbucher P J a Wilmott, P a

a UNIVERSITY OF BONN (Germany)

Author keywords

Feedback trading; Illiquid markets; Market manipulation; Option pricing; Portfolio insurance

Indexed keywords

COMMERCE; COMPUTER SIMULATION; FINANCE; INSURANCE; MARKETING; PARTIAL DIFFERENTIAL EQUATIONS; RANDOM PROCESSES;

FEEDBACK TRADING; ILLIQUID MARKETS; MARKET MANIPULATION; OPTION PRICING; PORTFOLIO INSURANCE;

MATHEMATICAL MODELS;

EID: 0034456187 PISSN: 00361399 EISSN: None Source Type: Journal
DOI: 10.1137/S0036139996308534 Document Type: Article

Times cited : (99)

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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.