The cost of illiquidity and its effects on hedging

Mathematical Finance

Volumn 20, Issue 4, 2010, Pages 597-615

  Rogers, L C G ^a   Singh, Surbjeet ^b  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^b UNIVERSITY OF BATH   (United Kingdom)

Author keywords

Hedging; Illiquidity; Liquidity; Option pricing; Price impact

Indexed keywords

EID: 77957118884     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2010.00413.x     Document Type: Article

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