LIQUIDITY IN A BINOMIAL MARKET

We study the binomial version of the illiquid market model introduced by Çetin, Jarrow, and Protter for continuous time and develop efficient numerical methods for its analysis. In particular, we characterize the liquidity premium that results from the model. In Çetin, Jarrow, and Protter, the arbit...

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Veröffentlicht in:	Mathematical finance 2012-04, Vol.22 (2), p.250-276
Hauptverfasser:	Gökay, Selim, Soner, Halil Mete
Format:	Artikel
Sprache:	eng
Schlagworte:	Arbitrage Asset pricing Binomial market binomial model Dynamic programming Economic models Financial models Liquidity Market structure Option pricing Portfolio management Studies super-replication Super-replication problem
Online-Zugang:	Volltext
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