Similar Search Results

A closed-form pricing formula for European options in an illiquid asset market

Pasricha, Puneet; Zhu, Song-Ping; He, Xin-Jiang - In: Financial innovation : FIN 8 (2022), pp. 1-18

This article addresses the problem of pricing European options when the underlying asset is not perfectly liquid. A liquidity discounting factor as a function of market-wide liquidity governed by a mean-reverting stochastic process and the sensitivity of the underlying price to market-wide...

Persistent link: https://www.econbiz.de/10013170252

Analytically pricing European options in dynamic markets : incorporating liquidity variations and economic cycles

He, Xin-Jiang; Pasricha, Puneet; Lin, Sha - In: Economic modelling 139 (2024), pp. 1-10

Persistent link: https://www.econbiz.de/10015189810

Vulnerable options with regime switching and stochastic liquidity

He, Xin-Jiang; Pasricha, Puneet; Lu, Tuantuan; Lin, Sha - In: The quarterly review of economics and finance 98 (2024), pp. 1-11

Persistent link: https://www.econbiz.de/10015188648

Analytically pricing exchange options with stochastic liquidity and regime switching

He, Xin-Jiang; Lin, Sha - In: The journal of futures markets 43 (2023) 5, pp. 662-676

Persistent link: https://www.econbiz.de/10014293179

Closed-form formulae for variance and volatility swaps under stochastic volatility with stochastic liquidity risks

Lin, Sha; He, Xin-Jiang - In: The journal of futures markets 44 (2024) 8, pp. 1447-1461

Persistent link: https://www.econbiz.de/10015110668

Analytically pricing variance and volatility swaps under a Markov-modulated model with liquidity risks

He, Xin-Jiang; Lin, Sha - In: The North American journal of economics and finance : a … 67 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014483995