English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Plus monthly

Global: Zendy Tools annual

Global: Zendy Tools monthly

Global: Zendy Free Plan

Paper is based on "The cost of illiquidity and its effects on hedging", L. C.G. Rogers and Surbjeet Singh, 2010. We generalize its thesis to constantelasticity model, which own previously used Black-Schoels model as a specialcase. The Goal of this article is to find optimal hedging strategy of Europeancall/put option in illiquid environment. We understand illiquidity as a nonlinear transaction cost function depending only on rate of change of ourportfolio. In case this function is quadratic, optimal policy is given bysystem of 3 PDE. In addition we show, that for small $\epsilon$ costs ofselling portfolio in time $T$ be important ($O(\epsilon)$) and shouldn't beneglected in Value function ($o(\epsilon^k)$- our result).

Option pricing in constant elasticity of variance model with liquidity costs