Liquidity in a binomial market

Mathematical Finance

Volumn 22, Issue 2, 2012, Pages 250-276

  Gökay, Selim ^a,c   Soner, Halil Mete ^b  

^a ETH ZURICH   (Switzerland)

^b SABANCI UNIVERSITY   (Turkey)

^c KOÇ UNIVERSITY   (Turkey)

Author keywords

Binomial model; Dynamic programming; Liquidity; Super replication

Indexed keywords

EID: 84857007104     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2010.00462.x     Document Type: Article

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