Implied liquidity risk premia in option markets

DOI10.1007/S10436-018-0339-YMaRDI QIDQ2000692zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

distortion functionsconic financeLaplace distortionWANG-transform

Mathematics Subject Classification ID

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

Recommendations

• Risk premia in option markets
• Market liquidity and its effect on option valuation and hedging
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• Option-implied objective measures of market risk with leverage
• Option pricing in illiquid markets with jumps

Cites work

• scientific article; zbMATH DE number 1795125 (Why is no real title available?)
• A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks
• A Universal Framework for Pricing Financial and Insurance Risks
• A two price theory of financial equilibrium with risk management implications
• Adapted hedging
• An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk
• Applied conic finance
• Asset pricing theory for two price economies
• Coherent measures of risk
• Conic asset pricing and the costs of price fluctuations
• Conic coconuts: the pricing of contingent capital notes using conic finance
• Conic portfolio theory
• FIX: the fear index -- measuring market fear
• Implied Lévy volatility
• Markets as a counterparty: an introduction to conic finance
• One-parameter families of distortion risk measures
• Properties of distortion risk measures
• Stochastic finance. An introduction in discrete time.

Cited in

(5)

• Risk premiums in a simple market model for implied volatility
• 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

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