Option pricing with an illiquid underlying asset market
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Cites work
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Cited in
(41)- Robust numerical algorithm to the European option with illiquid markets
- Liquidity premium in the presence of stock market crises and background risk
- Symmetries and exact solutions of a nonlinear pricing options equation
- An adaptive model for security prices driven by latent values: parameter estimation and option pricing effects
- A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets
- Numerical analysis and simulation of option pricing problems modeling illiquid markets
- Numerical analysis and computing for option pricing models in illiquid markets
- Option pricing in a CEV model with liquidity costs
- A numerical study of a parabolic Monge-Ampère equation in mathematical finance
- A FORWARD LOOKING, SINGULAR PERTURBATION APPROACH TO PRICING OPTIONS UNDER MARKET UNCERTAINTY AND TRADING NOISE
- Implied liquidity risk premia in option markets
- 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
- Monetary policy and sunspot fluctuations in the United States and the euro area
- The valuation of American options with the stochastic liquidity risk and jump risk
- Option replication in discrete time with the cost of illiquidity
- Option pricing with linear market impact and nonlinear Black-Scholes equations
- Hedging of covered options with linear market impact and gamma constraint
- Arbitrage-free interval and dynamic hedging in an illiquid market
- Option replication in discrete time with illiquidity
- Option pricing with illiquidity during a high volatile period
- On option pricing in illiquid markets with jumps
- Analytical valuation for geometric Asian options in illiquid markets
- Bayesian statistical inference for European options with stock liquidity
- Portfolio choice under transitory price impact
- Simulation of feedback effects for futures-style options pricing on Moscow exchange
- Almost-sure hedging with permanent price impact
- Nash equilibria for relative investors with (non)linear price impact
- Understanding the dual formulation for the hedging of path-dependent options with price impact
- A nonlinear option pricing model through the Adomian decomposition method
- MARKET PRICE OF TRADING LIQUIDITY RISK AND MARKET DEPTH
- Hedging of American options in illiquid markets with price impacts
- Optimal investment, derivative demand, and arbitrage under price impact
- Option pricing for a large trader with price impact and liquidity costs
- Hedging with physical or cash settlement under transient multiplicative 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
- Second-order stochastic target problems with generalized market impact
- A positivity-preserving numerical scheme for nonlinear option pricing models
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- scientific article; zbMATH DE number 1867106 (Why is no real title available?)
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