Option pricing with an illiquid underlying asset market
Article Abstract:
The impact of imperfect liquidity on the replication of European options in an underlying asset market is examined.
Publisher: Elsevier B.V.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2005
Europe, Analysis, Options (Finance), Liquidity (Finance), Liquid assets
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2005
User Contributions:
Comment about this article or add new information about this topic:
Computation of reservation prices of options with proportional transaction costs
Article Abstract:
A method to calculate reservation prices of stock options using Markov chain approximation is proposed.
Publisher: Elsevier B.V.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2006
Denmark, Methods, Usage, Evaluation, Stocks, Stock prices, Markov processes
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2006
User Contributions:
Comment about this article or add new information about this topic:
Similar abstracts:
- Abstracts: Utility based option evaluation with proportional transaction costs. Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints
- Abstracts: Diagnostics for evaluating the value and rationality of economic forecasts. A note on musgrave asymmetrical trend-cycle filters
- Abstracts: U.S. industry adjustment to economic deregulation. Policy watch: corporate average fuel economy standards. Does antitrust policy improve consumer welfare? Assessing the evidence
- Abstracts: Maximum likelihood estimation of the nonlinear rational expectations asset pricing model. Consumption asset pricing with stable shocks-exploring a solution and its implication for mean equity returns
- Abstracts: Equilibrium stock return dynamics under alternative rules of learning about hidden states. Forward trading and storage in a Cournot duopoly
This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.