Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258015 
Year of Publication: 
2020
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 8 [Issue:] 2 [Article No.:] 62 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-12
Publisher: 
MDPI, Basel
Abstract: 
We study a discrete time hedging and pricing problem in a market with the liquidity risk. We consider a discrete version of the constant elasticity of variance (CEV) model by applying Leland's discrete time replication scheme. The pricing equation becomes a nonlinear partial differential equation, and we solve it by a multi scale perturbation method. A numerical example is provided.
Subjects: 
discrete time hedging
liquidity risk
asymptotic expansion
CEV diffusion
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
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