Market liquidity and its effect on option valuation and hedging

DOI10.1098/rsta.1999.0419zbMath0962.91033OpenAlexW2102808260MaRDI QIDQ4719410

J. N. Dewynne, V. E. Putyatin

Publication date: 11 June 2001

Published in: Philosophical Transactions of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1098/rsta.1999.0419

zbMATH Keywords

parameter estimationoption pricingfinanceinvestmentmarket liquiditybid-ask spreadportfoliostransactions costs

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (1)

Matched asymptotic expansions in financial engineering

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