Determining bid-ask prices for options with stochastic illiquidity and applications to index options
Ming-Che Chuang, Jeffrey Tzuhao Tsai
| Year of publication: |
2024
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|---|---|
| Authors: | Chuang, Ming-Che ; Tsai, Jeffrey Tzuhao |
| Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 2013015-6. - Vol. 84.2024, Art.-No. 102314, p. 1-22
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| Subject: | Coherent risk measure | Fourier cosine series expansion | Illiquidity smile | Illiquidity smirk | Joint calibration | Stochastic illiquidity | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Marktliquidität | Market liquidity | Risikomaß | Risk measure | Liquidität | Liquidity | Geld-Brief-Spanne | Bid-ask spread | Volatilität | Volatility | Optionsgeschäft | Option trading | Index-Futures | Index futures |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.pacfin.2024.102314 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014534554