Option pricing with stochastic liquidity risk : theory and evidence
Shih-Ping Feng; Mao-Wei Hung; Yaw-Huei Wang
| 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 | Stochastischer Prozess | Stochastic process | CAPM | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010442476