Expected liquidity cost under delta hedging process


The expected liquidity cost when performing the delta hedging process of a European option is derived. It is represented by an integration formula that consists of European option prices and a certain function depending on the... [ view full abstract ]


  1. Kyungsub Lee (Yeungnam University)
  2. Byoung Ki Seo (Ulsan National Institute of Science and Technology)

Topic Areas

Hedging , Limit-Order Books , Liquidity


WE-A-UI » Hedging: From Theory to Practice (11:30 - Wednesday, 18th July, Ui Chadhain)

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