1. Hedging with physical or cash settlement under transient multiplicative price impact. (2024). Bilarev, Todor ; Becherer, Dirk.
   In: Finance and Stochastics.
   RePEc:spr:finsto:v:28:y:2024:i:2:d:10.1007_s00780-024-00531-7.

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2. Enhancing Deep Hedging of Options with Implied Volatility Surface Feedback Information. (2024). Franccois, Pascal ; Gauthier, Genevieve ; Fr'ed'eric Godin, ; Octavio, Carlos.
   In: Papers.
   RePEc:arx:papers:2407.21138.

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3. Deep Hedging with Market Impact. (2024). Kosseim, Leila ; Fr'ed'eric Godin, ; Simard, Clarence ; Neagu, Andrei.
   In: Papers.
   RePEc:arx:papers:2402.13326.

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4. Hedging with physical or cash settlement under transient multiplicative price impact. (2023). Bilarev, Todor ; Becherer, Dirk.
   In: Papers.
   RePEc:arx:papers:1807.05917.

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5. Analytic formula for option margin with liquidity costs under dynamic delta hedging. (2021). Lee, Kyungsub ; Ki, Byoung.
   In: Papers.
   RePEc:arx:papers:2103.15302.

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6. Hedging with Liquidity Risk under CEV Diffusion. (2020). Park, Sang-Hyeon ; Lee, Kiseop.
   In: Risks.
   RePEc:gam:jrisks:v:8:y:2020:i:2:p:62-:d:367569.

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7. Recipes for hedging exotics with illiquid vanillas. (2020). Gu, Olivier ; Fernandez-Tapia, Joaquin.
   In: Papers.
   RePEc:arx:papers:2005.10064.

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8. Pricing European Options in a Discrete Time Model for the Limit Order Book. (2019). Simard, Clarence ; Remillard, Bruno.
   In: Methodology and Computing in Applied Probability.
   RePEc:spr:metcap:v:21:y:2019:i:3:d:10.1007_s11009-017-9610-3.

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9. The self-financing equation in limit order book markets. (2019). Carmona, Rene ; Webster, Kevin.
   In: Finance and Stochastics.
   RePEc:spr:finsto:v:23:y:2019:i:3:d:10.1007_s00780-019-00398-z.

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10. Pricing discrete barrier options under jump-diffusion model with liquidity risk. (2019). Li, Zhe ; Zhang, Yue ; Liu, Yong-Jun.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:59:y:2019:i:c:p:347-368.

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11. Merton’s portfolio problem including market frictions: A closed-form formula supporting the shadow price approach. (2019). Recchioni, Maria ; Mariani, Francesca ; Ciommi, Mariateresa.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:275:y:2019:i:3:p:1178-1189.

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12. An analytical approximation approach for pricing European options in a two-price economy. (2019). Yi, Zhigao ; Li, Zhe ; Zhang, Yue.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306065.

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13. Applications of a New Self-Financing Equation. (2019). Carmona, Rene ; Webster, Kevin.
    In: Papers.
    RePEc:arx:papers:1905.04137.

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14. LOCAL RISK-MINIMIZATION WITH MULTIPLE ASSETS UNDER ILLIQUIDITY WITH APPLICATIONS IN ENERGY MARKETS. (2018). Meyer-Brandis, Thilo ; Christodoulou, Panagiotis ; Detering, Nils.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:21:y:2018:i:04:n:s0219024918500280.

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15. Analytical valuation for geometric Asian options in illiquid markets. (2018). Li, Zhe ; Liu, Yong-Jun ; Zhang, Wei-Guo.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:507:y:2018:i:c:p:175-191.

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16. European quanto option pricing in presence of liquidity risk. (2018). Li, Zhe ; Liu, Yong-Jun ; Zhang, Wei-Guo.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:45:y:2018:i:c:p:230-244.

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17. Local risk-minimization with multiple assets under illiquidity with applications in energy markets. (2018). Meyer-Brandis, Thilo ; Christodoulou, Panagiotis ; Detering, Nils.
    In: Papers.
    RePEc:arx:papers:1705.06918.

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18. Stability for gains from large investors strategies in M1/J1 topologies. (2018). Bilarev, Todor ; Frentrup, Peter ; Becherer, Dirk.
    In: Papers.
    RePEc:arx:papers:1701.02167.

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19. A String Model of Liquidity in Financial Markets. (2018). Zhao, Ran ; Schellhorn, Henry.
    In: Papers.
    RePEc:arx:papers:1608.05900.

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20. Hedging of covered options with linear market impact and gamma constraint. (2017). Bouchard, B ; Zou, Y ; Loeper, G.
    In: Post-Print.
    RePEc:hal:journl:hal-01611790.

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21. Hedging of covered options with linear market impact and gamma constraint. (2017). Bouchard, B ; Zou, Y ; Loeper, G.
    In: Post-Print.
    RePEc:hal:journl:hal-01247523.

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22. Utility maximization in an illiquid market in continuous time. (2016). Vukelja, Mirjana ; Soner, Mete H.
    In: Mathematical Methods of Operations Research.
    RePEc:spr:mathme:v:84:y:2016:i:2:d:10.1007_s00186-016-0544-2.

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23. Superreplication when trading at market indifference prices. (2016). Gokay, Selim ; Bank, Peter.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:20:y:2016:i:1:p:153-182.

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24. The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making. (2016). Guéant, Olivier ; Gueant, Olivier.
    In: Post-Print.
    RePEc:hal:journl:hal-01393136.

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25. Almost-sure hedging with permanent price impact. (2016). Bouchard, B ; Zou, Y ; Loeper, G.
    In: Post-Print.
    RePEc:hal:journl:hal-01133223.

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26. Option pricing with linear market impact and non-linear Black and Scholes equations. (2016). Loeper, Gregoire.
    In: Papers.
    RePEc:arx:papers:1301.6252.

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27. Hedging of covered options with linear market impact and gamma constraint. (2015). Zou, Y ; Loeper, G ; Bouchard, B.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01247523.

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28. Almost-sure hedging with permanent price impact. (2015). Zou, Y ; Loeper, G ; Bouchard, B.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01133223.

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29. Option pricing and hedging with execution costs and market impact. (2015). Guéant, Olivier ; Pu, Jiang ; Gueant, Olivier.
    In: Post-Print.
    RePEc:hal:journl:hal-01393124.

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30. Hedging of covered options with linear market impact and gamma constraint. (2015). Zou, Y ; Loeper, G ; Bouchard, B.
    In: Papers.
    RePEc:arx:papers:1512.07087.

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31. Hedging, arbitrage and optimality with superlinear frictions. (2015). Guasoni, Paolo ; Mikl'os R'asonyi, .
    In: Papers.
    RePEc:arx:papers:1506.05895.

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32. Almost-sure hedging with permanent price impact. (2015). Zou, Y. ; Loeper, G. ; Bouchard, B..
    In: Papers.
    RePEc:arx:papers:1503.05475.

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33. Option pricing and hedging with execution costs and market impact. (2015). Olivier Gu'eant, ; Pu, Jiang.
    In: Papers.
    RePEc:arx:papers:1311.4342.

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34. Viscosity Characterization of the Value Function of an Investment-Consumption Problem in Presence of an Illiquid Asset. (2014). federico, salvatore ; Gassiat, Paul.
    In: Journal of Optimization Theory and Applications.
    RePEc:spr:joptap:v:160:y:2014:i:3:d:10.1007_s10957-013-0372-y.

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35. Duality and convergence for binomial markets with friction. (2013). Dolinsky, Yan ; Soner, Halil .
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:17:y:2013:i:3:p:447-475.

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36. Pricing and hedging contingent claims with liquidity costs and market impact. (2013). Loeper, Gregoire ; Abergel, Frederic.
    In: Working Papers.
    RePEc:hal:wpaper:hal-00802402.

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37. Superreplication when trading at market indifference prices. (2013). Gokay, Selim ; Bank, Peter.
    In: Papers.
    RePEc:arx:papers:1310.3113.

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38. Hedging through a Limit Order Book with Varying Liquidity. (2012). Agliardi, Rossella ; Genay, Ramazan.
    In: Working Paper series.
    RePEc:rim:rimwps:12_12.

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39. Signing trades and an evaluation of the Lee–Ready algorithm. (2012). Protter, Philip ; Blais, Marcel.
    In: Annals of Finance.
    RePEc:kap:annfin:v:8:y:2012:i:1:p:1-13.

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40. Viscosity characterization of the value function of an investment-consumption problem in presence of illiquid assets. (2012). federico, salvatore ; Gassiat, Paul.
    In: Papers.
    RePEc:arx:papers:1211.1286.

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41. A No-Arbitrage Model of Liquidity in Financial Markets involving Brownian Sheets. (2012). Schellhorn, Henry ; German, David .
    In: Papers.
    RePEc:arx:papers:1206.4804.

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42. Liquidity risk, price impacts and the replication problem. (2011). Roch, Alexandre.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:15:y:2011:i:3:p:399-419.

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43. Optimal investment strategies with a reallocation constraint. (2010). Soner, H. ; Egriboyun, Feyzullah.
    In: Mathematical Methods of Operations Research.
    RePEc:spr:mathme:v:71:y:2010:i:3:p:551-585.

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1. Analytic formula for option margin with liquidity costs under dynamic delta hedging. (2021). Lee, Kyungsub ; Ki, Byoung.
   In: Papers.
   RePEc:arx:papers:2103.15302.

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2. Hedging with Liquidity Risk under CEV Diffusion. (2020). Park, Sang-Hyeon ; Lee, Kiseop.
   In: Risks.
   RePEc:gam:jrisks:v:8:y:2020:i:2:p:62-:d:367569.

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3. Liquidity risk and expected option returns. (2020). Choy, Siu Kai ; Wei, Jason.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302742.

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4. Recipes for hedging exotics with illiquid vanillas. (2020). Gu, Olivier ; Fernandez-Tapia, Joaquin.
   In: Papers.
   RePEc:arx:papers:2005.10064.

   Full description at Econpapers || Download paper

5. How dynamic hedging affects stock price movements: Evidence from German option and certificate markets. (2019). Fischer, Georg.
   In: Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe.
   RePEc:zbw:upadbr:b3519.

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6. Option Implied Stock Buy-Side and Sell-Side Market Depths. (2019). Tsai, Feng-Tse.
   In: Risks.
   RePEc:gam:jrisks:v:7:y:2019:i:4:p:108-:d:281113.

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7. Evaluation of Options using the Black-Scholes Methodology. (2019). Bratian, Vasile.
   In: Expert Journal of Economics.
   RePEc:exp:econcs:v:7:y:2019:i:2:p:59-65.

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8. Pricing discrete barrier options under jump-diffusion model with liquidity risk. (2019). Li, Zhe ; Zhang, Yue ; Liu, Yong-Jun.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:59:y:2019:i:c:p:347-368.

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9. Bayesian statistical inference for European options with stock liquidity. (2019). Li, Yaqiong ; Gao, Rui ; Lin, Lisha.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:518:y:2019:i:c:p:312-322.

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10. An analytical approximation approach for pricing European options in a two-price economy. (2019). Yi, Zhigao ; Li, Zhe ; Zhang, Yue.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306065.

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11. Illiquidity Premia in the Equity Options Market. (2018). Goyenko, Ruslan ; Christoffersen, Peter ; Karoui, Mehdi ; Jacobs, Kris.
    In: The Review of Financial Studies.
    RePEc:oup:rfinst:v:31:y:2018:i:3:p:811-851..

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12. Analytical valuation for geometric Asian options in illiquid markets. (2018). Li, Zhe ; Liu, Yong-Jun ; Zhang, Wei-Guo.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:507:y:2018:i:c:p:175-191.

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13. The impacts of asymmetric information and short sales on the illiquidity risk premium in the stock option market. (2018). Lin, Zih-Ying ; Wang, Yaw-Huei ; Chang, Chuang-Chang.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:94:y:2018:i:c:p:152-165.

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14. European quanto option pricing in presence of liquidity risk. (2018). Li, Zhe ; Liu, Yong-Jun ; Zhang, Wei-Guo.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:45:y:2018:i:c:p:230-244.

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15. Illiquidity transmission from spot to futures markets. (2017). Theissen, Erik ; Krischak, Paolo ; Korn, Olaf.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1410.

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16. Discrete-time option pricing with stochastic liquidity. (2017). Leippold, Markus ; Scharer, Steven .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:75:y:2017:i:c:p:1-16.

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17. Stock Illiquidity, option prices, and option returns. (2016). Kanne, Stefan ; Korn, Olaf ; Uhrig-Homburg, Marliese.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1608.

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18. The importance of stock liquidity on option pricing. (2016). Wang, Yaw-Huei ; Feng, Shih-Ping ; Hung, Mao-Wei.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:43:y:2016:i:c:p:457-467.

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19. Dynamic portfolio choice with frictions. (2016). Pedersen, Lasse ; Garleanu, Nicolae.
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:165:y:2016:i:c:p:487-516.

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20. Market making and risk management in options markets. (2015). Boyd, Naomi.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:18:y:2015:i:1:p:1-27.

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21. Option pricing and hedging with execution costs and market impact. (2015). Guéant, Olivier ; Pu, Jiang ; Gueant, Olivier.
    In: Post-Print.
    RePEc:hal:journl:hal-01393124.

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22. Option pricing and hedging with execution costs and market impact. (2015). Olivier Gu'eant, ; Pu, Jiang.
    In: Papers.
    RePEc:arx:papers:1311.4342.

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23. Large liquidity expansion of super-hedging costs. (2015). Touzi, Nizar ; Soner, Mete H. ; Possamai, Dylan.
    In: Papers.
    RePEc:arx:papers:1208.3785.

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24. A model for a large investor trading at market indifference prices. II: Continuous-time case. (2015). Bank, Peter ; Kramkov, Dmitry.
    In: Papers.
    RePEc:arx:papers:1110.3229.

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25. Commonality in liquidity: An empirical examination of emerging order-driven equity and derivatives market. (2014). Goyal, Abhinav ; Syamala, Sudhakar Reddy ; Reddy, Nagi V..
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:33:y:2014:i:c:p:317-334.

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26. Option pricing with stochastic liquidity risk: Theory and evidence. (2014). Wang, Yaw-Huei ; Feng, Shih-Ping ; Hung, Mao-Wei.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:18:y:2014:i:c:p:77-95.

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27. Hedging costs, liquidity, and inventory management: The evidence from option market makers. (2014). Lee, Yi-Tsung ; Liu, Yu-Jane ; Wu, Wei-Shao ; Fok, Robert C. W., .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:18:y:2014:i:c:p:25-48.

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28. Option pricing in constant elasticity of variance model with liquidity costs. (2014). Turek, Krzysztof .
    In: Papers.
    RePEc:arx:papers:1409.6042.

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29. A model for a large investor trading at market indifference prices. I: single-period case. (2013). Bank, Peter ; Kramkov, Dmitry.
    In: Papers.
    RePEc:arx:papers:1110.3224.

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30. Illiquidity Premia in the Equity Options Market. (2013). Goyenko, Ruslan ; Karoui, Mehdi ; Jacobs, Kris.
    In: CREATES Research Papers.
    RePEc:aah:create:2013-48.

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31. Reduced form modeling of limit order markets. (2012). Pennanen, Teemu ; Malo, Pekka.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:12:y:2012:i:7:p:1025-1036.

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32. Signing trades and an evaluation of the Lee–Ready algorithm. (2012). Protter, Philip ; Blais, Marcel.
    In: Annals of Finance.
    RePEc:kap:annfin:v:8:y:2012:i:1:p:1-13.

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33. Discrete time hedging with liquidity risk. (2012). Lee, Kiseop ; Ku, Hyejin ; Zhu, Huaiping.
    In: Finance Research Letters.
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34. Large liquidity expansion of super-hedging costs. (2012). Touzi, Nizar ; Soner, Mete H. ; Possamai, Dylan.
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35. A note on super-hedging for investor-producers. (2012). Nguyen-Huu, Adrien ; Nguyenhuu, Adrien.
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36. (S,s)-adjustment Strategies and Hedging under Markovian Dynamics. (2011). Andergassen, Rainer ; Agliardi, Elettra.
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37. Liquidity considerations in estimating implied volatility. (2011). Thomas, Susan ; Grover, Rohini .
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38. THE LIQUIDITY EFFECT IN OPTION PRICING: AN EMPIRICAL ANALYSIS. (2011). Feng, Shih-Ping.
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39. Liquidity effect in OTC options markets: Premium or discount?. (2011). Gupta, Anurag ; Deuskar, Prachi ; Subrahmanyam, Marti G..
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40. Illiquidity Premia in the Equity Options Market. (2011). Goyenko, Ruslan ; Christoffersen, Peter ; Karoui, Mehdi ; Jacobs, Kris.
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41. On nonlinear models of markets with finite liquidity: Some cautionary notes. (2010). Glover, Kristoffer ; Duck, Peter W ; Newton, David P.
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42. Option hedging for small investors under liquidity costs. (2010). Etin, Umut ; Touzi, Nizar ; Soner, H..
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43. Option hedging for small investors under liquidity costs. (2010). Cetin, Umut ; Touzi, Nizar ; Soner, Mete H..
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44. Option market liquidity: Commonality and other characteristics. (2010). Cao, Melanie ; Wei, Jason.
    In: Journal of Financial Markets.
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45. Portfolio choice under transitory price impact. (2010). Isaenko, Sergei.
    In: Journal of Economic Dynamics and Control.
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46. Credit Default Swaps Liquidity modeling: A survey. (2010). Brigo, Damiano ; Predescu, Mirela ; Capponi, Agostino.
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47. Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk. (2009). Bion-Nadal, Jocelyne .
    In: Journal of Mathematical Economics.
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48. Credit Crises, Risk Management Systems and Liquidity Modelling. (2008). Milne, Frank.
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49. No arbitrage conditions and liquidity. (2007). Touzi, Nizar ; Astic, Fabian.
    In: Journal of Mathematical Economics.
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50. Computation of estimates in segmented regression and a liquidity effect model. (2007). Song, Seongjoo ; Gill, Ryan ; Lee, Kiseop.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:51:y:2007:i:12:p:6459-6475.

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