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

DOI10.1111/ITOR.12778MaRDI QIDQ6090499zbMATH OpenOpenAlexFDO

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

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

Cited in

(1)

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

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