{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,3,26]],"date-time":"2025-03-26T23:32:38Z","timestamp":1743031958478,"version":"3.40.3"},"publisher-location":"Cham","reference-count":18,"publisher":"Springer International Publishing","isbn-type":[{"type":"print","value":"9783319181660"},{"type":"electronic","value":"9783319181677"}],"license":[{"start":{"date-parts":[[2015,1,1]],"date-time":"2015-01-01T00:00:00Z","timestamp":1420070400000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"},{"start":{"date-parts":[[2015,1,1]],"date-time":"2015-01-01T00:00:00Z","timestamp":1420070400000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2015]]},"DOI":"10.1007\/978-3-319-18167-7_33","type":"book-chapter","created":{"date-parts":[[2015,5,7]],"date-time":"2015-05-07T04:27:19Z","timestamp":1430972839000},"page":"377-388","source":"Crossref","is-referenced-by-count":0,"title":["Optimal Discrete Hedging in Garman-Kohlhagen Model with Liquidity Risk"],"prefix":"10.1007","author":[{"given":"Thanh","family":"Duong","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Quyen","family":"Ho","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"An","family":"Tran","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Minh","family":"Tran","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","reference":[{"key":"33_CR1","doi-asserted-by":"publisher","first-page":"435","DOI":"10.1093\/rfs\/6.3.435","volume":"6","author":"K. Back","year":"1993","unstructured":"Back, K.: Asymmetric Information and options. The Review of Financial Studies\u00a06, 435\u2013472 (1993)","journal-title":"The Review of Financial Studies"},{"key":"33_CR2","doi-asserted-by":"publisher","first-page":"311","DOI":"10.1007\/s00780-004-0123-x","volume":"8","author":"U. \u00c7etin","year":"2004","unstructured":"\u00c7etin, U., Jarrow, R., Protter, P.: Liquidity risk and arbitrage pricing theory. Finance and Stochastic\u00a08, 311\u2013341 (2004)","journal-title":"Finance and Stochastic"},{"key":"33_CR3","doi-asserted-by":"publisher","first-page":"370","DOI":"10.1214\/aoap\/1034968136","volume":"6","author":"J. Cvitanic","year":"1996","unstructured":"Cvitanic, J., Ma, J.: Hedging options for a large investor and forward-backward SDE\u2019s. Annals of Applied Probability\u00a06, 370\u2013398 (1996)","journal-title":"Annals of Applied Probability"},{"key":"33_CR4","doi-asserted-by":"publisher","first-page":"493","DOI":"10.1093\/rfs\/hhj014","volume":"19","author":"U. \u00c7etin","year":"2006","unstructured":"\u00c7etin, U., Jarrow, R., Protter, P., Warachka, M.: Pricing options in an extended Black Scholes economy with illiquidity: theory and empirical evidence. Review of Financial Studies\u00a019, 493\u2013529 (2006)","journal-title":"Review of Financial Studies"},{"key":"33_CR5","doi-asserted-by":"publisher","first-page":"42","DOI":"10.2469\/faj.v59.n3.2530","volume":"59","author":"D. Duffie","year":"2003","unstructured":"Duffie, D., Ziegler, A.: Liquidity risk. Financial Analysts Journal\u00a059, 42\u201351 (2003)","journal-title":"Financial Analysts Journal"},{"key":"33_CR6","doi-asserted-by":"publisher","first-page":"311","DOI":"10.2307\/2331322","volume":"27","author":"R. Jarrow","year":"1992","unstructured":"Jarrow, R.: Market manipulation, bubbles, corners and short squeezes. Journal of Financial and Quantitative Analysis\u00a027, 311\u2013336 (1992)","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"33_CR7","doi-asserted-by":"publisher","first-page":"115","DOI":"10.1007\/s007800050035","volume":"2","author":"R. Frey","year":"1998","unstructured":"Frey, R.: Perfect option hedging for a large trader. Finance and Stochastics\u00a02, 115\u2013141 (1998)","journal-title":"Finance and Stochastics"},{"key":"33_CR8","doi-asserted-by":"publisher","first-page":"351","DOI":"10.1111\/1467-9965.00036","volume":"7","author":"R. Frey","year":"1997","unstructured":"Frey, R., Stremme, A.: Market volatility and feedback effects from dynamic hedging. Mathematical Finance\u00a07, 351\u2013374 (1997)","journal-title":"Mathematical Finance"},{"key":"33_CR9","doi-asserted-by":"publisher","first-page":"447","DOI":"10.1111\/1467-9965.00124","volume":"11","author":"A. Subramanian","year":"2001","unstructured":"Subramanian, A., Jarrow, R.: The liquidity discount. Mathematical Finance\u00a011, 447\u2013474 (2001)","journal-title":"Mathematical Finance"},{"issue":"2","key":"33_CR10","first-page":"193","volume":"2","author":"M. Tran","year":"2013","unstructured":"Tran, M., Duong, T., Ho, Q.: Discrete time hedging with liquidity risk. Southeast-Asian J. of Sciences\u00a02(2), 193\u2013203 (2013)","journal-title":"Southeast-Asian J. of Sciences"},{"key":"33_CR11","doi-asserted-by":"publisher","first-page":"1","DOI":"10.1111\/j.0960-1627.2004.00179.x","volume":"14","author":"P. Bank","year":"2004","unstructured":"Bank, P., Baum, D.: Hedging and portfolio optimization in financial markets with a large trader. Mathematical Finance\u00a014, 1\u201318 (2004)","journal-title":"Mathematical Finance"},{"key":"33_CR12","volume-title":"Arbitrage Theory in Continuous Time","author":"T. Bj\u00f6rk","year":"2009","unstructured":"Bj\u00f6rk, T.: Arbitrage Theory in Continuous Time, 3rd edn. Oxford University Press Inc., New York (2009)","edition":"3"},{"key":"33_CR13","doi-asserted-by":"crossref","unstructured":"Leland, H.E.: Option pricing and replication with transactions costs. Journal of Finance, 1283\u20131301 (1985)","DOI":"10.1111\/j.1540-6261.1985.tb02383.x"},{"key":"33_CR14","unstructured":"Feller, W.: An Introduction to Probability Theory and Its Applications, 2nd edn., vol.\u00a02. John Wiley & Sons (1970)"},{"key":"33_CR15","doi-asserted-by":"crossref","unstructured":"Duffy, D.J.: Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach. Wiley (2006)","DOI":"10.1002\/9781118673447"},{"key":"33_CR16","unstructured":"Forsyth, G.E., Wasow, W.R.: Finite Difference Methods for Partial Differential Equations. Wiley (1960)"},{"key":"33_CR17","series-title":"The Binomial Asset Pricing Model","volume-title":"Stochastic Calculus for Finance I","author":"S.E. Shreve","year":"2004","unstructured":"Shreve, S.E.: Stochastic Calculus for Finance I. The Binomial Asset Pricing Model. Springer, New York (2004)"},{"key":"33_CR18","doi-asserted-by":"crossref","unstructured":"Shreve, S.E.: Stochastic Calculus for Finance II. Continuous\u2013Time Model. Springer, New York (2004)","DOI":"10.1007\/978-1-4757-4296-1"}],"container-title":["Advances in Intelligent Systems and Computing","Modelling, Computation and Optimization in Information Systems and Management Sciences"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/978-3-319-18167-7_33","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,1,24]],"date-time":"2023-01-24T12:41:52Z","timestamp":1674564112000},"score":1,"resource":{"primary":{"URL":"https:\/\/link.springer.com\/10.1007\/978-3-319-18167-7_33"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2015]]},"ISBN":["9783319181660","9783319181677"],"references-count":18,"URL":"https:\/\/doi.org\/10.1007\/978-3-319-18167-7_33","relation":{},"ISSN":["2194-5357","2194-5365"],"issn-type":[{"type":"print","value":"2194-5357"},{"type":"electronic","value":"2194-5365"}],"subject":[],"published":{"date-parts":[[2015]]}}}