A non-arbitrage liquidity model with observable parameters for derivatives
We develop a parameterised model for liquidity effects arising from the trading in an asset. Liquidity is defined via a combination of a trader's individual transaction cost and a price slippage impact, which is felt by all market participants. The chosen definition allows liquidity to be obse...
| Main Authors: | , |
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| Format: | Journal article |
| Published: |
2003
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