caa a22 4500 445363169 CHVBK 20180317142921.0 cr unu---uuuuu 170323e20110901xx s 000 0 eng 10.1007/s00780-011-0156-x doi (NATIONALLICENCE)springer-10.1007/s00780-011-0156-x Roch Alexandre Department of Finance, University of Quebec in Montreal (UQAM), Case postale 8888, H3C 3P8, Succursale Centre-ville, Montreal, Quebec, Canada aut Liquidity risk, price impacts and the replication problem [Elektronische Daten] [Alexandre Roch] We extend a linear version of the liquidity risk model of Çetin etal. (Finance Stoch. 8:311-341, 2004) to allow for price impacts. We show that the impact of a market order on prices depends on the size of the transaction and the level of liquidity. We obtain a simple characterization of self-financing trading strategies and a sufficient condition for no arbitrage. We consider a stochastic volatility model in which the volatility is partly correlated with the liquidity process and show that, with the use of variance swaps, contingent claims whose payoffs depend on the value of the asset can be approximately replicated in this setting. The replicating costs of such payoffs are obtained from the solutions of BSDEs with quadratic growth, and analytical properties of these solutions are investigated. Springer-Verlag, 2011 Liquidity risk nationallicence BSDEs nationallicence Stochastic volatility nationallicence Price impacts nationallicence Finance and Stochastics Springer-Verlag 15/3(2011-09-01), 399-419 0949-2984 15:3<399 2011 15 780 https://doi.org/10.1007/s00780-011-0156-x text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00780-011-0156-x text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Roch Alexandre Department of Finance, University of Quebec in Montreal (UQAM), Case postale 8888, H3C 3P8, Succursale Centre-ville, Montreal, Quebec, Canada aut NATIONALLICENCE 773 0- Finance and Stochastics Springer-Verlag 15/3(2011-09-01), 399-419 0949-2984 15:3<399 2011 15 780 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer