most citedModels of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions

10 citations · 10 across the 1 of their papers we have counts for

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q-fin.PR2010★ 10 cited

Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions

Ljudmila A. Bordag, Anna Mikaelyan

We study the general model of self-financing trading strategies in illiquid markets introduced by Schoenbucher and Wilmott, 2000. A hedging strategy in the framework of this model…