Discrete-time option pricing with stochastic liquidity
Markus Leippold, Steven Schärer
| Year of publication: |
February 2017
|
|---|---|
| Authors: | Leippold, Markus ; Schärer, Steven |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 75.2017, p. 1-16
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| Subject: | Market liquidity | Bid-Ask spreads | Option pricing | Stochastic liquidity | Conic finance | Optionspreistheorie | Option pricing theory | Geld-Brief-Spanne | Bid-ask spread | Liquidität | Liquidity | Marktliquidität | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2016.11.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011742148