Commodity price risk management: Valuation of large trading portfolios under adverse and illiquid market settings
نویسندگان
چکیده
منابع مشابه
Valuation in Illiquid Markets
What is the value of a financial instrument in an illiquid market? The classical valuation theory which is based on the law of one price assumes implicitly that market participants can trade freely in both directions at the same price. In the absence of perfect liquidity the law of one price should be replaced by a two price theory where the terms of trade depend on the direction of the trade. ...
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ژورنال
عنوان ژورنال: Journal of Derivatives & Hedge Funds
سال: 2009
ISSN: 1753-965X
DOI: 10.1057/jdhf.2008.27