Option pricing with an illiquid underlying asset market
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Publication:956485
DOI10.1016/J.JEDC.2004.11.004zbMATH Open1198.91210OpenAlexW1971138837MaRDI QIDQ956485FDOQ956485
Publication date: 25 November 2008
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2004.11.004
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)
Cites Work
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Cited In (38)
- Option pricing in a CEV model with liquidity costs
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- HEDGING OF AMERICAN OPTIONS IN ILLIQUID MARKETS WITH PRICE IMPACTS
- Arbitrage-free interval and dynamic hedging in an illiquid market
- A FORWARD LOOKING, SINGULAR PERTURBATION APPROACH TO PRICING OPTIONS UNDER MARKET UNCERTAINTY AND TRADING NOISE
- On option pricing in illiquid markets with jumps
- Second-Order Stochastic Target Problems with Generalized Market Impact
- A Numerical Study of a Parabolic Monge-Ampère Equation in Mathematical Finance
- Option pricing with linear market impact and nonlinear Black-Scholes equations
- Implied liquidity risk premia in option markets
- Option pricing for a large trader with price impact and liquidity costs
- Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact
- Liquidity premium in the presence of stock market crises and background risk
- Option pricing with illiquidity during a high volatile period
- Nash equilibria for relative investors with (non)linear price impact
- Understanding the dual formulation for the hedging of path-dependent options with price impact
- An adaptive model for security prices driven by latent values: parameter estimation and option pricing effects
- The valuation of American options with the stochastic liquidity risk and jump risk
- Almost-sure hedging with permanent price impact
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- MARKET PRICE OF TRADING LIQUIDITY RISK AND MARKET DEPTH
- Portfolio choice under transitory price impact
- Numerical analysis and simulation of option pricing problems modeling illiquid markets
- A nonlinear option pricing model through the Adomian decomposition method
- Symmetries and exact solutions of a nonlinear pricing options equation
- Numerical analysis and computing for option pricing models in illiquid markets
- Monetary policy and sunspot fluctuations in the United States and the euro area
- Optimal investment, derivative demand, and arbitrage under price impact
- Numerical analysis for Spread option pricing model of markets with finite liquidity: first-order feedback model
- Pricing vulnerable options with jump risk and liquidity risk
- Numerical analysis and computing of a non-arbitrage liquidity model with observable parameters for derivatives
- A positivity-preserving numerical scheme for nonlinear option pricing models
- A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets
- Analytical valuation for geometric Asian options in illiquid markets
- Bayesian statistical inference for European options with stock liquidity
- Hedging of Covered Options with Linear Market Impact and Gamma Constraint
- Analytical solutions of a time-fractional nonlinear transaction-cost model for stock option valuation in an illiquid market setting driven by a relaxed Black–Scholes assumption
- Robust numerical algorithm to the European option with illiquid markets
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