The liquidity discount

Mathematical Finance

Volumn 11, Issue 4, 2001, Pages 447-474

  Subramanian, Ajay ^a,c   Jarrow, Robert A ^b  

^a Susquehanna International Group LLP   (United States)

^b Department of Obstetrics Gynecology   (Japan)

^c GEORGIA INSTITUTE OF TECHNOLOGY   (United States)

Author keywords

Impulse control; Large investors; Liquidity risk; Value at risk

Indexed keywords

EID: 0035615624     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00124     Document Type: Article

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