Liquidity risk, price impacts and the replication problem

Finance and Stochastics

Volumn 15, Issue 3, 2011, Pages 399-419

  Roch, Alexandre F ^a  

^a UNIVERSITÉ DU QUÉBEC À MONTRÉAL   (Canada)

Author keywords

BSDEs; Liquidity risk; Price impacts; Stochastic volatility

Indexed keywords

EID: 80052023897     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-011-0156-x     Document Type: Article

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