Liquidity Models in Continuous and Discrete Time
37 Pages Posted: 26 Dec 2010
Date Written: December 23, 2010
Abstract
We survey several models of liquidity and liquidity related problems such as optimal execution of a large order, hedging and super-hedging options for a large trader, utility maximization in illiquid markets and price impact models with price manipulation strategies.
Keywords: Liquidity, super-hedging, price manipulation
JEL Classification: C61, G13, D52
Suggested Citation: Suggested Citation
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