文章基本信息

标题：Hedging with Liquidity Risk under CEV Diffusion
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作者：Sang-Hyeon Park ; Kiseop Lee
期刊名称：Risks
印刷版ISSN：2227-9091
出版年度：2020
卷号：8
期号：62
页码：62
DOI：10.3390/risks8020062
语种：English
出版社：MDPI, Open Access Journal
摘要：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.