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- Title
Dinámica de precios y valoración de activos contingentes en mercados con riesgo de liquidez.
- Authors
Moreno Trujillo, John Freddy
- Abstract
Market models are considered in which a liquidity factor associated with price dynamics and the agents' trading strategies is incorporated. The case is studied in which the liquidity factor is a deterministic function of the price and another in which this factor is stochastic described by a Cox-Ingersoll-Ross process. Different types of trading strategies are considered and the stochastic differential equations for price dynamics as well as the corresponding nonlinear partial differential equations for the valuation of contingent assets are explicitly established.
- Subjects
NONLINEAR differential equations; STOCHASTIC differential equations; PARTIAL differential equations; NONLINEAR equations; LIQUIDITY (Economics); VALUATION; CONTINGENT valuation
- Publication
ODEON - Observatorio de Economía y Operaciones Numéricas, 2020, Issue 19, p153
- ISSN
1794-1113
- Publication type
Article
- DOI
10.18601/17941113.n19.06