Option pricing with an illiquid underlying asset market
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Publication:956485
DOI10.1016/J.JEDC.2004.11.004zbMATH Open1198.91210OpenAlexW1971138837MaRDI QIDQ956485FDOQ956485
Authors: Hong Liu, Jiongmin Yong 
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)
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Cited In (40)
- Option pricing in a CEV model with liquidity costs
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- 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
- Option pricing with linear market impact and nonlinear Black-Scholes equations
- Option replication in discrete time with illiquidity
- Implied liquidity risk premia in option markets
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