On option pricing in illiquid markets with jumps
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Publication:2449007
DOI10.1155/2013/567071zbMath1286.91133arXiv1304.4690WikidataQ58997663 ScholiaQ58997663MaRDI QIDQ2449007
Youssef El-Khatib, Abdulnasser Hatemi-J
Publication date: 6 May 2014
Published in: ISRN Mathematical Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1304.4690
91G20: Derivative securities (option pricing, hedging, etc.)
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Cites Work
- The Pricing of Options and Corporate Liabilities
- Numerical simulations for the pricing of options in jump diffusion markets
- Option pricing with an illiquid underlying asset market
- Complete markets with discontinuous security price
- Hedging in complete markets driven by normal martingales
- Option pricing when underlying stock returns are discontinuous
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