random trading times
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Investment/consumption choice in illiquid markets with random trading times

Advanced Financial Modelling - Radon Series on Computational and Applied Mathematics ◽

10.1515/9783110213140.411 ◽

2009 ◽

Keyword(s):

Illiquid Markets ◽

Random Trading Times

A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES

Mathematical Finance ◽

10.1111/j.1467-9965.2008.00350.x ◽

2008 ◽

Vol 18 (4) ◽

pp. 613-627 ◽

Cited By ~ 23

Author(s):

Huyên Pham ◽

Peter Tankov

Keyword(s):

Liquidity Risk ◽

Optimal Consumption ◽

Random Trading Times