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Quantitative Finance Volume 18, 2018 - Issue 3
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Research Papers

Liquidity risk in derivatives valuation: an improved credit proxy method

Sumit SourabhComputational Science Lab, University of Amsterdam, Science Park 904, Amsterdam, 1098XHThe Netherlands.Correspondence[email protected]
ORCID Iconhttp://orcid.org/0000-0003-4559-0991View further author information
ORCID Icon,
Markus HoferQuantitative Analytics, ING Bank, Foppingadreef 7, Amsterdam, 1102BDThe Netherlands.View further author information
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Drona KandhaiComputational Science Lab, University of Amsterdam, Science Park 904, Amsterdam, 1098XHThe Netherlands.;Quantitative Analytics, ING Bank, Foppingadreef 7, Amsterdam, 1102BDThe Netherlands.View further author information
Pages 467-481 | Received 01 Sep 2016, Accepted 24 Mar 2017, Published online: 23 Jun 2017

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