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Pricing options in an extended black scholes economy with illiquidity : theory and empirical evidence
Çetin, U.
;
Jarrow, Robert A.
;
Protter, Philip E.
; …
- In:
The review of financial studies
19
(
2006
)
2
,
pp. 493-529
Persistent link: https://www.econbiz.de/10003355212
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2
Liquidity risk and option pricing theory
Jarrow, Robert A.
;
Protter, Philip E.
- In:
Financial engineering
,
(pp. 727-762)
.
2008
Persistent link: https://www.econbiz.de/10003567782
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3
Relative asset price bubbles
Falafala, Roseline Bilina
;
Jarrow, Robert A.
;
Protter, …
- In:
Annals of finance
12
(
2016
)
2
,
pp. 135-160
Persistent link: https://www.econbiz.de/10011555672
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4
Risk-neutral compatibility with option prices
Jacod, Jean
;
Protter, Philip E.
- In:
Finance and stochastics
14
(
2010
)
2
,
pp. 285-315
Persistent link: https://www.econbiz.de/10003951511
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An analysis of the supply curve for liquidity risk through book data
Blais, Marcel
;
Protter, Philip E.
- In:
International journal of theoretical and applied finance
13
(
2010
)
6
,
pp. 821-838
Persistent link: https://www.econbiz.de/10008905116
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6
Probability of no default for a microloan under uncertainty
Andam, Perpetual Saah
;
Protter, Philip E.
- In:
Annals of finance
20
(
2024
)
4
,
pp. 521-528
Persistent link: https://www.econbiz.de/10015188765
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7
Capital adequacy rules, catastrophic firm failure, and systemic risk
Jarrow, Robert A.
- In:
Review of derivatives research
16
(
2013
)
3
,
pp. 219-231
Persistent link: https://www.econbiz.de/10010222969
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8
Asset market equilibrium with liquidity risk
Jarrow, Robert A.
- In:
Annals of finance
14
(
2018
)
2
,
pp. 253-288
Persistent link: https://www.econbiz.de/10011945597
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9
Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles
Jarrow, Robert A.
- In:
Mathematics and financial economics
13
(
2019
)
1
,
pp. 115-146
Persistent link: https://www.econbiz.de/10012055755
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10
A characterization theorem for unique risk neutral probability measures
Jarrow, Robert A.
- In:
Economics letters
22
(
1986
)
1
,
pp. 61-65
Persistent link: https://www.econbiz.de/10001018426
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