EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS

DOI10.1142/S021902491350043XzbMath1302.91182arXiv1205.1007OpenAlexW1922454580MaRDI QIDQ5746930

Michael Ludkovski, Qunying Shen

Publication date: 11 February 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.1007

zbMATH Keywords

indifference priceexponential utility maximizationliquidity shock

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (13)

Well posedness and comparison principle for option pricing with switching liquidity ⋮ Analytical valuation for geometric Asian options in illiquid markets ⋮ Implicit-Explicit Schemes for European Option Pricing with Liquidity Shocks ⋮ High Order Compact Schemes for Option Pricing with Liquidity Shocks ⋮ Fitted finite volume method for indifference pricing in an exponential utility regime-switching model ⋮ Valuation of European Options with Liquidity Shocks Switching by Fitted Finite Volume Method ⋮ Fully Implicit Time-Stepping Schemes for a Parabolic-ODE System of European Options with Liquidity Shocks ⋮ Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model ⋮ IMEX schemes for a parabolic-ODE system of European options with liquidity shocks ⋮ Penalty method for indifference pricing of American option in a liquidity switching market ⋮ A simple numerical solution for an optimal investment strategy for a DC pension plan in a jump diffusion model ⋮ Numerical method for optimal portfolio in an exponential utility regime-switching model ⋮ American Options in an Illiquid Market: Nonlinear Complementary Method

Cites Work

• Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?
• Option pricing and Esscher transform under regime switching
• Dynamic asset pricing theory with uncertain time-horizon
• Option pricing when the regime-switching risk is priced
• Utility–indifference hedging and valuation via reaction–diffusion systems
• INDIFFERENCE VALUATION OF MORTGAGE-BACKED SECURITIES IN THE PRESENCE OF PREPAYMENT RISK
• Exponential Hedging and Entropic Penalties
• The Mathematics of Financial Derivatives
• CRASH HEDGING STRATEGIES AND WORST-CASE SCENARIO PORTFOLIO OPTIMIZATION

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