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Illiquidity Effects in Optimal Consumption-Investment Problems
Illiquidity Effects Optimal Consumption-Investment
2010/10/19
We study the effect of liquidity freezes on an economic agent optimizing her utility of consumption in a perturbed Black-Scholes-Merton model. The single risky asset follows a geometric Brownian motio...
Illiquidity Effects in Optimal Consumption-Investment Problems
Illiquidity Effects Optimal Consumption-Investment
2010/4/28
We study the effect of liquidity freezes on an economic agent optimizing her utility of consumption in a perturbed Black-Scholes-Merton model. The single risky asset follows a geometric Brownian motio...
Illiquidity and Derivative Valuation
Stochastic dierential games illiquidity market impact derivative valuation
2010/10/29
In illiquid markets, option traders may have an incentive to increase their portfolio value
by using their impact on the dynamics of the underlying. We provide a mathematical framework
within which ...
Illiquidity Discount in the Czech Republic: Comparison of Stock Prices at the Prague Stock Exchange and the Off-Exchange RMS
Lack of marketability discount Share-holder level discount Liquidity
2010/10/20
The Czech Republic – a transitional economy with an emerging market – suffers from a low level of efficiency and liquidity of capital markets together with a high level of information asymmetry i...