Real‐time waiting‐price trading interval in a heterogeneous options market: a Bernoulli distribution

DOI10.1111/ITOR.12778OpenAlexW3004209205MaRDI QIDQ6090499FDOQ6090499

Authors: Yossi Shvimer, Avi Herbon 

Publication date: 17 November 2023

Published in: International Transactions in Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/itor.12778

zbMATH Keywords

optimizationoption pricingheterogeneous playerswaiting-price trading interval

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Cites Work

• The pricing of options and corporate liabilities
• Generalized Cox-Ross-Rubinstein binomial models
• Binomial models for option valuation - examining and improving convergence
• A General Equilibrium Analysis of Option and Stock Market Interactions
• A tale of two option markets: pricing kernels and volatility risk
• The role of put option contracts in supply chain management under inflation
• Option contract strategies with risk‐aversion and emergency purchase

Cited In (1)

• Markets with random lifetimes and private values: mean reversion and option to trade

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