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pro vyhledávání: '"M. M. Dyshaev"'
Autor:
M. M. Dyshaev, V.E. Fedorov
Publikováno v:
Известия Иркутского государственного университета: Серия "Математика", Vol 31, Iss 1, Pp 3-17 (2020)
Using the approach of L.C.G. Rogers and S. Singh, we added liquidity costs accounting to the model with risk adjusted pricing methodology (RAPM), generalized by M. Jandacka and D. Sevcovic. This model minimizes the risk of transaction costs growth fr
Externí odkaz:
https://doaj.org/article/e3fa5e2fda5e42c2b990a56024270e0d
Autor:
M. M. Dyshaev
The work is devoted to the elaboration and demonstration of a method for measuring the cost of illiquidity in the delta hedging of futures-style options on the Moscow Exchange. Illiquidity is usually measured per unit of asset or money. However, give
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::88bce605c5c230f5ae952751cab143cf
