An analysis of the supply curve for liquidity risk through book data

International Journal of Theoretical and Applied Finance

Volumn 13, Issue 6, 2010, Pages 821-838

  Blais, Marcel ^a   Protter, Philip ^b  

^a Worcester Polytechnic Institute   (United States)

^b Department of Obstetrics Gynecology   (United States)

Author keywords

arbitrage; hedging risk; Liquidity risk; option; semimartingale; supply curve

Indexed keywords

EID: 77956332040     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024910006017     Document Type: Article

References (12)

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