Frey, Rüdiger, Patie, Pierre. 2002. Risk Management for Derivatives in Illiquid Markets: A Simulation Study. In: Advances in Finance and Stochastics, Hrsg. Sandmann, Klaus; Schönbucher, Philip J. (Eds.), 137-160. Berlin: Springer.

RIS

@INBOOK{Frey2002,
title = {Risk Management for Derivatives in Illiquid Markets: A Simulation Study},
author = {Rüdiger Frey and Pierre Patie},
publisher = {Springer},
year = {2002},
address = {Berlin},
url = {http://www.amazon.com/Advances-Finance-Stochastics-Essays-Sondermann/dp/354043464X},
publisher = {Springer},
language = {EN},
pages = {137-160},
series = {Advances in Finance and Stochastics},
abstract = {In many areas of finance and stochastics, significant advances have been made since this field of research was opened by Black, Scholes and Merton in 1973. Advances in Finance and Stochastics contains a collection of original articles by a number of highly distinguished authors on research topics that are currently in the focus of interest of both academics and practitioners. The topics span risk management, portfolio theory and multi-asset derivatives, market imperfections, interest-rate modelling and exotic options.},
}