Non-tradability interval for heterogeneous rational players in the option markets

DOI10.1007/S10287-021-00413-9MaRDI QIDQ2127366zbMATH OpenOpenAlexFDO

Authors Yossi Shvimer, Avi Herbon

Publication date 20 April 2022

Published in Computational Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10287-021-00413-9

zbMATH Keywords

option pricingheterogeneous playersBid-Ask spreadsnon-tradability interval

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

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Cites work

• Informed traders
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• The pricing of options and corporate liabilities

Cited in

(2)

• Markets with random lifetimes and private values: mean reversion and option to trade
• A game theory analysis of options. Contributions to the theory of financial intermediation in continuous time

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