AN EMPIRICAL ANALYSIS OF OPTION PRICING WITH SHORT SELL BANS
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Publication:5088798
DOI10.1142/S0219024922500121zbMath1503.91116MaRDI QIDQ5088798
Xin-Jiang He, Mesias Alfeus, Song-Ping Zhu
Publication date: 13 July 2022
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024922500121
91G20: Derivative securities (option pricing, hedging, etc.)
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- The Pricing of Options and Corporate Liabilities
- Option pricing with transaction costs and a nonlinear Black-Scholes equation
- Equal risk pricing under convex trading constraints
- The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
- A revised option pricing formula with the underlying being banned from short selling