Numerical pricing of exchange option with stock liquidity under Bayesian statistical method

DOI10.1080/03610926.2020.1793364MaRDI QIDQ5081059zbMATH OpenOpenAlexFDO

Authors Rui Gao, Yaqiong Li, Yanfei Bai

Publication date 1 June 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2020.1793364

zbMATH Keywords

Bayesian statistical inferenceexchange optionincomplete marketMCMCstock liquidity

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• Analytical valuation for geometric Asian options in illiquid markets
• Bayesian inference for the jump-diffusion model with M jumps
• Bayesian option pricing using mixed normal heteroskedasticity models
• Bayesian statistical inference for European options with stock liquidity
• Closed-form pricing formula for exchange option with credit risk
• Exchange option in a two-state Poisson CAPM
• Exchange option pricing in jump-diffusion models based on Esscher transform
• Exchange option pricing under stochastic volatility: a correlation expansion
• Exchange Options Under Jump-Diffusion Dynamics
• Mathematical models of financial derivatives
• MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
• Numerical analysis and simulation of option pricing problems modeling illiquid markets
• Pricing formula for european currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients
• The pricing of European options on two underlying assets with delays

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