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No-arbitrage under a class of honest times

Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique - In: Finance and stochastics 22 (2018) 1, pp. 127-159

Persistent link: https://www.econbiz.de/10011945638

On arbitrage and duality under model uncertainty and portfolio constraints

Bayraktar, Erhan; Zhou, Zhou - In: Mathematical finance : an international journal of … 27 (2017) 4, pp. 988-1012

Persistent link: https://www.econbiz.de/10011765002

Modeling financial bubbles with optional semimartingales in nonstandard probability spaces

Abdelghani, Mohamed; Melnikov, Alexander - 2025

Deviation of an asset price from its fundamental value, commonly referred to as a price bubble, is a well-known phenomenon in financial markets. Mathematically, a bubble arises when the deflated price process transitions from a martingale to a strict local martingale. This paper explores price...

Persistent link: https://www.econbiz.de/10015358908

On asset pricing in a binomial model with fixed and proportional transaction costs, portfolio constraints and dividends

Babaei, Esmaeil - In: Mathematical methods of operations research : ZOR 101 (2025) 1, pp. 29-50

Persistent link: https://www.econbiz.de/10015331075

Asset pricing and hedging in financial markets with fixed and proportional transaction costs

Babaei, Esmaeil - In: Annals of finance 20 (2024) 2, pp. 259-275

Persistent link: https://www.econbiz.de/10014566422

Optimal investment and contingent claim valuation in illiquid markets

Pennanen, Teemu - In: Finance and stochastics 18 (2014) 4, pp. 733-754

Persistent link: https://www.econbiz.de/10010413679

Stock Illiquidity, option prices, and option returns

Kanne, Stefan; Korn, Olaf; Uhrig-Homburg, Marliese - 2016 - Current version: July 2016

We provide evidence of a strong effect of the underlying stock's illiquidity on option prices by showing that the … average absolute difference between historical and implied volatility increases with stock illiquidity. This pattern … chosen illiquidity measure, the measure of option expensiveness, and the return period. …

Persistent link: https://www.econbiz.de/10011539242

A variation of Merton's corporate bond valuation model for firms with illiquid but observable assets

Dong, Juan; Korobenko, Lyudmila; Sezer, A. Deniz - In: Quantitative finance 20 (2020) 3, pp. 483-497

Persistent link: https://www.econbiz.de/10012194903

Closed-form solution to a real option problem with regime switching

Nishihara, Michi - In: Operations research letters 48 (2020) 6, pp. 703-707

Persistent link: https://www.econbiz.de/10012430068

Options illiquidity in an over-the-counter market

Ahn, Jungkyu - In: International review of financial analysis 94 (2024), pp. 1-15

Persistent link: https://www.econbiz.de/10014544018