Option pricing with stochastic liquidity risk : theory and evidence
Year of publication: |
2014
|
---|---|
Authors: | Feng, Shih-ping ; Hung, Mao-Wei ; Wang, Yaw-huei |
Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 18.2014, p. 77-95
|
Subject: | Option pricing | Liquidity risk | Liquidity discount factor | Optionspreistheorie | Option pricing theory | Liquidität | Liquidity | Risiko | Risk |
-
Pricing vulnerable options with jump risk and liquidity risk
Wang, Xingchun, (2021)
-
Measuring banks' liquidity risk : an option-pricing approach
Zhang, Jinqing, (2020)
-
European quanto option pricing in presence of liquidity risk
Li, Zhe, (2018)
- More ...
-
Option pricing with stochastic liquidity risk: Theory and evidence
Feng, Shih-Ping, (2014)
-
The importance of stock liquidity on option pricing
Feng, Shih-Ping, (2016)
-
THE LIQUIDITY EFFECT IN OPTION PRICING: AN EMPIRICAL ANALYSIS
Feng, Shih-Ping, (2011)
- More ...