Pricing vulnerable basket spread options with liquidity risk
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics, Econometrics and Finance (miscellaneous),Finance
Link
https://link.springer.com/content/pdf/10.1007/s11147-022-09192-0.pdf
Reference29 articles.
1. Amihud, Y. (2002). Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets, 5(1), 31–56.
2. Amihud, Y., & Mendelson, H. (1991). Liquidity, asset prices and financial policy. Financial Analysts Journal, 47(6), 56–66.
3. Bjerksund, P., & Stensland, G. (2014). Closed form spread option valuation. Quantitative Finance, 14(10), 1785–1794.
4. Brunetti, C., & Caldarera, A. (2005). Asset Prices and Asset Correlations in Illiquid Markets. In 2005 Meeting Papers (Vol. 288). Society for Economic Dynamics.
5. Cetin, U., Jarrow, R., Protter, P., & Warachka, M. (2006). Pricing options in an extended black scholes economy with illiquidity: Theory and empirical evidence. Review of Financial Studies, 19(2), 493–529.
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