Valuation of European options in the market with daily price limit
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Publication:4541588
DOI10.1080/135048600450293zbMath1021.91024MaRDI QIDQ4541588
Junhwa Ban, Hyejin Ku, Hyeong In Choi
Publication date: 5 September 2002
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/135048600450293
91B26: Auctions, bargaining, bidding and selling, and other market models
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A generalization of option pricing to price-limit markets, Valuation of futures options with initial margin requirements and daily price limit
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