arxiv.org/pdf/1106.2095
arXiv
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by Y Dolinsky - 2011 - Cited by 8 - Related articles
Jun 9, 2011 - considered in [5] and [13] which is the Binomial version of the model introduced by Cetin, .... bound (liquidity premium) of Theorem 3.5.[PDF]Duality and convergence for binomial markets with friction
www.math.ethz.ch/~hmsoner/pdfs/72-Soner-Liquidity.pdf
ETH Zurich
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by Y Dolinsky - 2012 - Cited by 8 - Related articles
Jun 15, 2011 - the existence of a liquidity premium for the continuous-time limit of ... Keywords Super-replication · Liquidity · Binomial model · Limit theorems ·.[PDF]LIQUIDITY IN A BINOMIAL MARKET - NCCR FinRisk
www.nccr-finrisk.uzh.ch/.../Soner%20Paper2.pdf
University of Zurich
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by S Gokay - 2010 - Cited by 10 - Related articles
We study the binomial version of the illiquid market model introduced by C¸ etin,. Jarrow, and .... Our first result, Theorem 3.1, is a solution technique through.Increasing returns to liquidity in futures markets
www.tandfonline.com › List of Issues › Table Of Contents
by BA Goss - 1998 - Cited by 7 - Related articles
Nov 2, 2006 - A simple model, based on the binomial theorem, is employed to predict that the ... The ask-bid spread, interpreted as a measure of liquidity, ...
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