Two approaches for option pricing under illiquidity

DOI10.18523/2617-70805202238-45MaRDI QIDQ6568627FDOQ6568627

Authors: V. J. Pauk, O. Petrenko, Nataliya Yu. Shchestyuk 

Publication date: 8 July 2024

Published in: Mogylyans'kyĭ Matematychnyĭ Zhurnal (Search for Journal in Brave)

Recommendations

• Option pricing in illiquid markets: a fractional jump-diffusion approach
• On some option pricing models on illiquid markets
• On option pricing in illiquid markets with jumps
• Monte-Carlo method for option pricing in sub-diffusive arithmetic models
• A subdiffusive stochastic volatility jump model

zbMATH Keywords

hitting timesubordinatortrinomial tree modelsubdiffusion models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

This page was built for publication: Two approaches for option pricing under illiquidity

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6568627)