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2. Analytic formula for option margin with liquidity costs under dynamic delta hedging. (2021). Lee, Kyungsub ; Ki, Byoung.
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3. Market making with convex quotes. (2020). Jindapon, Paan ; Hwang, Hae-Shin.
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4. Marked Hawkes process modeling of price dynamics and volatility estimation. (2019). Lee, Kyungsub ; Ki, Byoung.
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6. Marked Hawkes process modeling of price dynamics and volatility estimation. (2017). Lee, Kyungsub ; Ki, Byoung.
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7. What drives the sensitivity of limit order books to company announcement arrivals?. (2017). Siikanen, Milla ; Kanniainen, Juho ; Luoma, Arto.
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9. Hedging without sweat: a genetic programming approach. (2013). Lensberg, Terje ; Klaus Reiner Schenk-Hopp'e, .
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1. Analytic formula for option margin with liquidity costs under dynamic delta hedging. (2021). Lee, Kyungsub ; Ki, Byoung.
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2. Hedging with Liquidity Risk under CEV Diffusion. (2020). Park, Sang-Hyeon ; Lee, Kiseop.
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3. Liquidity risk and expected option returns. (2020). Choy, Siu Kai ; Wei, Jason.
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4. Recipes for hedging exotics with illiquid vanillas. (2020). Gu, Olivier ; Fernandez-Tapia, Joaquin.
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5. How dynamic hedging affects stock price movements: Evidence from German option and certificate markets. (2019). Fischer, Georg.
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6. Option Implied Stock Buy-Side and Sell-Side Market Depths. (2019). Tsai, Feng-Tse.
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7. Evaluation of Options using the Black-Scholes Methodology. (2019). Bratian, Vasile.
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8. Pricing discrete barrier options under jump-diffusion model with liquidity risk. (2019). Li, Zhe ; Zhang, Yue ; Liu, Yong-Jun.
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   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.
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   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.
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    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.
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12. Analytical valuation for geometric Asian options in illiquid markets. (2018). Li, Zhe ; Liu, Yong-Jun ; Zhang, Wei-Guo.
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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.
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14. European quanto option pricing in presence of liquidity risk. (2018). Li, Zhe ; Liu, Yong-Jun ; Zhang, Wei-Guo.
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    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.
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16. Discrete-time option pricing with stochastic liquidity. (2017). Leippold, Markus ; Scharer, Steven .
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    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.
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18. The importance of stock liquidity on option pricing. (2016). Wang, Yaw-Huei ; Feng, Shih-Ping ; Hung, Mao-Wei.
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    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.
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20. Market making and risk management in options markets. (2015). Boyd, Naomi.
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21. Option pricing and hedging with execution costs and market impact. (2015). Guéant, Olivier ; Pu, Jiang ; Gueant, Olivier.
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22. Option pricing and hedging with execution costs and market impact. (2015). Olivier Gu'eant, ; Pu, Jiang.
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23. Large liquidity expansion of super-hedging costs. (2015). Touzi, Nizar ; Soner, Mete H. ; Possamai, Dylan.
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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.
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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..
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    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.
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    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., .
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28. Option pricing in constant elasticity of variance model with liquidity costs. (2014). Turek, Krzysztof .
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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.
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30. Illiquidity Premia in the Equity Options Market. (2013). Goyenko, Ruslan ; Karoui, Mehdi ; Jacobs, Kris.
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    RePEc:aah:create:2013-48.

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31. Reduced form modeling of limit order markets. (2012). Pennanen, Teemu ; Malo, Pekka.
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32. Signing trades and an evaluation of the Lee–Ready algorithm. (2012). Protter, Philip ; Blais, Marcel.
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33. Discrete time hedging with liquidity risk. (2012). Lee, Kiseop ; Ku, Hyejin ; Zhu, Huaiping.
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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.
    In: The International Journal of Business and Finance Research.
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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.
    In: CREATES Research Papers.
    RePEc:aah:create:2011-43.

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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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    RePEc:spr:finsto:v:14:y:2010:i:3:p:317-341.

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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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    RePEc:ehl:lserod:28992.

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44. Option market liquidity: Commonality and other characteristics. (2010). Cao, Melanie ; Wei, Jason.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:13:y:2010:i:1:p:20-48.

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45. Portfolio choice under transitory price impact. (2010). Isaenko, Sergei.
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    RePEc:eee:dyncon:v:34:y:2010:i:11:p:2375-2389.

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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 .
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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.
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    RePEc:eee:mateco:v:43:y:2007:i:6:p:692-708.

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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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