Optimal investment and contingent claim valuation in illiquid markets
نویسندگان
چکیده
منابع مشابه
Optimal investment and contingent claim valuation in illiquid markets
This paper extends basic results on arbitrage bounds and attainable claims to illiquid markets and general swap contracts where both claims and premiums may have multiple payout dates. Explicit consideration of swap contracts is essential in illiquid markets where the valuation of swaps cannot be reduced to the valuation of cumulative claims at maturity. We establish the existence of optimal tr...
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2014
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s00780-014-0240-0