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Pricing options in illiquid markets: optimal systems, symmetry reductions and exact solutions
Pricing options illiquid markets optimal systems symmetry reductions
2010/10/18
We study a class of nonlinear pricing models which involves the feedback effect from the dynamic hedging strategies on the price of asset introduced by Sircar and Papanicolaou. We are first to study ...
Optimal investment on finite horizon with random discrete order flow in illiquid markets
liquidity modelling discrete order flow optimal investment inhomogenous Poisson process dynamic programming
2010/11/1
We study the problem of optimal portfolio selection in an illiquid market with discrete order flow. In this market, bids and offers are not available at any time but trading occurs more frequently nea...
Distressed Sales and Financial Arbitrageurs: Front-running in Illiquid Markets
Distressed Sales Financial Arbitrageurs Illiquid Markets
2010/7/2
We investigate the impact of an arbitrageur’s activities in an illiquid market, where there is a large distressed trader and a fringe of small traders. Large traders trade strategically considering pr...