Pricing discrete barrier options under jump-diffusion model with liquidity risk
Zhe Li, Wei-Guo Zhang, Yong-Jun Liu, Yue Zhang
| Year of publication: |
2019
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|---|---|
| Authors: | Li, Zhe ; Zhang, Wei-guo ; Liu, Yong-Jun ; Zhang, Yue |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 59.2019, p. 347-368
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| Subject: | Barrier options | Fourier-cosine series | Jump-diffusion process | Liquidity discount factor | Market liquidity | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Liquidität | Liquidity | Marktliquidität | Betriebliche Liquidität | Corporate liquidity | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2018.10.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012202898