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

DOI10.1007/S10287-021-00413-9OpenAlexW3189042128MaRDI QIDQ2127366FDOQ2127366

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)

Cites Work

• The pricing of options and corporate liabilities
• Risk, uncertainty, and option exercise
• Dequantization of the Dirac monopole
• Multi-purpose binomial model: fitting all moments to the underlying geometric Brownian motion

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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