Implied liquidity risk premia in option markets
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Publication:2000692
DOI10.1007/S10436-018-0339-YOpenAlexW2890116935WikidataQ129235242 ScholiaQ129235242MaRDI QIDQ2000692FDOQ2000692
Authors: Florence Guillaume, Gero Junike, Peter Leoni, Wim Schoutens 
Publication date: 28 June 2019
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://lirias.kuleuven.be/handle/123456789/647786
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- Option pricing in illiquid markets with jumps
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- A Universal Framework for Pricing Financial and Insurance Risks
- Properties of distortion risk measures
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- Conic portfolio theory
- Implied Lévy volatility
Cited In (5)
- Estimation of the bid-ask prices for the European discrete geometric average and arithmetic average Asian options
- Valuation of bid and ask prices for European options under mixed fractional Brownian motion
- Asymmetric information about volatility: how does it affect implied volatility, option prices and market liquidity?
- Option market making under inventory risk
- Risk premiums in a simple market model for implied volatility
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