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.

Europe, Analysis, Options (Finance), Liquidity (Finance), Liquid assets

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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.

Denmark, Methods, Usage, Evaluation, Stocks, Stock prices, Markov processes

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