Zhou Fang, Zhang Wei, Zhou Bing, "Martingale-Based Computational Liquidity Risk Premium," WSEAS Transactions on Mathematics, vol. 12, pp. -, 2013, DOI:
Zhou Fang, Zhang Wei, Zhou Bing. Martingale-Based Computational Liquidity Risk Premium.
WSEAS Transactions on Mathematics. 2013;12:-.
WSEAS Transactions on Mathematics
Print ISSN: 1109-2769, E-ISSN: 2224-2880
Volume 12, 2013
Martingale-Based Computational Liquidity Risk Premium
Authors: , ,
Abstract: In this paper, we consider the pricing of liquidity risk in normal market. By employing the no-arbitrage idea of financial calculus and finance engineering, we discuss the pricing of market risk and liquidity risk under martingale measure, and obtain two separate market prices of risk for all tradable assets via the change of equivalent measure to make discounted assets into martingales, and then provide the pricing formula of liquidity risk premium, in which the market price of risk in the same market for all tradable assets and for all the investors is the same, not varying with the levels of risk aversion of investors.
Pages: - WSEAS Transactions on Mathematics, ISSN / E-ISSN: 1109-2769 / 2224-2880, Volume 12, 2013DOI: *As the DOI is a unique identifier, it is already available in the pdf version.
**The DOI link will be activated in the first midst of January 2026.
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