On information costs, short sales and the pricing of extendible options, steps and Parisian options

DOI10.1007/s10479-015-2050-yzbMath1416.91367OpenAlexW2179293387MaRDI QIDQ1615798

Mondher Bellalah

Publication date: 31 October 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-015-2050-y

zbMATH Keywords

pricingParisian optionsshort salesinformation costsextendible optionssteps options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

International capital asset pricing model: the case of asymmetric information and short-sale, Intertemporal optimal portfolio choice based on labor income within shadow costs of incomplete information and short sales

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