Modeling Liquidity Effects In Discrete Time
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DOI: 10.1111/j.1467-9965.2007.00292.x
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Other versions of this item:
- Cetin, Umut & Rogers, L.C.G., 2007. "Modeling liquidity effects in discrete time," LSE Research Online Documents on Economics 2844, London School of Economics and Political Science, LSE Library.
References listed on IDEAS
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- Domenico Cuoco & Jaksa Cvitanic, "undated". "Optimal Consumption Choices for a "Large" Investor," Rodney L. White Center for Financial Research Working Papers 04-96, Wharton School Rodney L. White Center for Financial Research.
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- Jarrow, Robert A., 1994. "Derivative Security Markets, Market Manipulation, and Option Pricing Theory," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(2), pages 241-261, June.
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JEL classification:
- F3 - International Economics - - International Finance
- G3 - Financial Economics - - Corporate Finance and Governance
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