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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

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

Skew-Brownian motion and pricing European exchange options

Pasricha, Puneet; He, Xin-Jiang - In: International review of financial analysis 82 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10013426145