An empirical analysis of option pricing with short sell bans
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Recommendations
- A revised option pricing formula with the underlying being banned from short selling
- Valuation of general contingent claims with short selling bans: an equal-risk pricing approach
- Short-sale constraints, information acquisition, and asset prices
- EUROPEAN OPTION PRICING WITH GENERAL TRANSACTION COSTS AND SHORT-SELLING CONSTRAINTS
- How do short-sale costs affect put options trading? Evidence from separating hedging and speculative shorting demands
Cites work
- A revised option pricing formula with the underlying being banned from short selling
- Equal risk pricing under convex trading constraints
- scientific article; zbMATH DE number 906530 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- Option pricing with transaction costs and a nonlinear Black-Scholes equation
- The pricing of options and corporate liabilities
- The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
Cited in
(4)- How do short-sale costs affect put options trading? Evidence from separating hedging and speculative shorting demands
- Short selling with margin risk and recall risk
- A revised option pricing formula with the underlying being banned from short selling
- Valuation of general contingent claims with short selling bans: an equal-risk pricing approach
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