Artikel
Hedging with liquidity risk under CEV diffusion
We study a discrete time hedging and pricing problem in a market with the liquidity risk. We consider a discrete version of the constant elasticity of variance (CEV) model by applying Leland's discrete time replication scheme. The pricing equation becomes a nonlinear partial differential equation, and we solve it by a multi scale perturbation method. A numerical example is provided.
- Language
-
Englisch
- Bibliographic citation
-
Journal: Risks ; ISSN: 2227-9091 ; Volume: 8 ; Year: 2020 ; Issue: 2 ; Pages: 1-12 ; Basel: MDPI
- Classification
-
Wirtschaft
- Subject
-
discrete time hedging
liquidity risk
asymptotic expansion
CEV diffusion
- Event
-
Geistige Schöpfung
- (who)
-
Park, Sang-Hyeon
Lee, Kiseop
- Event
-
Veröffentlichung
- (who)
-
MDPI
- (where)
-
Basel
- (when)
-
2020
- DOI
-
doi:10.3390/risks8020062
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Park, Sang-Hyeon
- Lee, Kiseop
- MDPI
Time of origin
- 2020
Other Objects (12)
Mean-risk hedging strategies in electricity markets with limited liquidity
Mean-risk hedging strategies in electricity markets with limited liquidity
Liquidity constrained exporters: Trade and futures hedging
Hedging labor income risk
Market liquidity risk
Quadratic hedging of basis risk
Endogenous systemic liquidity risk
Endogenous Systemic Liquidity Risk
Endogenous systemic liquidity risk
Endogenous systemic liquidity risk
Tail risk hedging and regime switching
Dynamic Hedging of Real Wealth Risk
Mean-risk hedging strategies in electricity markets with limited liquidity
Mean-risk hedging strategies in electricity markets with limited liquidity
Liquidity constrained exporters: Trade and futures hedging
Hedging labor income risk
Market liquidity risk
Quadratic hedging of basis risk
Endogenous systemic liquidity risk
Endogenous Systemic Liquidity Risk
Endogenous systemic liquidity risk
Endogenous systemic liquidity risk
Tail risk hedging and regime switching
Dynamic Hedging of Real Wealth Risk
Mean-risk hedging strategies in electricity markets with limited liquidity
Mean-risk hedging strategies in electricity markets with limited liquidity
Liquidity constrained exporters: Trade and futures hedging
Hedging labor income risk
Market liquidity risk
Quadratic hedging of basis risk
Endogenous systemic liquidity risk
Endogenous Systemic Liquidity Risk
Endogenous systemic liquidity risk
Endogenous systemic liquidity risk
Tail risk hedging and regime switching