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Search: subject:"Stochastic liquidity risk"
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Liquidity
4
Liquidität
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Option pricing theory
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Optionspreistheorie
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Stochastic liquidity risk
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Credit risk
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Kreditrisiko
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Derivat
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Generalized variance swaps
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Mean-reversion processes
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Option trading
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Optionsgeschäft
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Swap
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Wang, Xingchun
3
Cai, Chengyou
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Dong, Ziming
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Guo, Xun-xiang
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Tang, Dan
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Wang, Ke
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Yu, Baimin
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Zhang, Hong-yu
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The North American journal of economics and finance : a journal of theory and practice
2
Review of derivatives research
1
The North American journal of economics and finance : a journal of financial economics studies
1
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ECONIS (ZBW)
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Valuations of generalized variance swaps under the jump-diffusion model with
stochastic
liquidity
risk
Wang, Ke
;
Guo, Xun-xiang
;
Zhang, Hong-yu
- In:
The North American journal of economics and finance : a …
73
(
2024
),
pp. 1-27
Persistent link: https://www.econbiz.de/10014581051
Saved in:
2
Pricing vulnerable spread options with liquidity risk under Lévy processes
Cai, Chengyou
;
Wang, Xingchun
;
Yu, Baimin
- In:
The North American journal of economics and finance : a …
72
(
2024
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014534807
Saved in:
3
Pricing vulnerable basket spread options with liquidity risk
Dong, Ziming
;
Tang, Dan
;
Wang, Xingchun
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 23-50
Persistent link: https://www.econbiz.de/10014266355
Saved in:
4
Pricing vulnerable options with
stochastic
liquidity
risk
Wang, Xingchun
- In:
The North American journal of economics and finance : a …
60
(
2022
),
pp. 1-10
Persistent link: https://www.econbiz.de/10013449096
Saved in:
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