Pricing options in an extended black scholes economy with illiquidity : theory and empirical evidence
U. Çetin; R. Jarrow; P. Protter; M. Warachka
| Year of publication: |
2006
|
|---|---|
| Authors: | Çetin, U. ; Jarrow, Robert A. ; Protter, Philip E. ; Warachka, M. |
| Published in: |
The review of financial studies. - Cary, NC : Oxford Univ. Press, ISSN 0893-9454, ZDB-ID 1043666-2. - Vol. 19.2006, 2, p. 493-529
|
| Subject: | Black-Scholes-Modell | Black-Scholes model | Liquidität | Liquidity | Risiko | Risk | Stochastischer Prozess | Stochastic process | Marktmikrostruktur | Market microstructure | Theorie | Theory | USA | United States | 1995-1998 |
| Extent: | graph. Darst. |
|---|---|
| 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/10003355212