American and exotic options in a market with frictions
Author:
Affiliation:
1. Department of Mathematics, Universitat Autònoma de Barcelona, Bellaterra (Barcelona), Spain
2. Department of Computer Science, Universitat Politécnica de Catalunya, Barcelona, Spain
3. Department of Mathematics, KU Leuven, Leuven, Belgium
Funder
MINECO
AGAUR
Publisher
Informa UK Limited
Subject
Economics, Econometrics and Finance (miscellaneous)
Link
https://www.tandfonline.com/doi/pdf/10.1080/1351847X.2019.1599407
Reference40 articles.
1. Asset pricing with liquidity risk
2. Implied liquidity: Model sensitivity
3. Illiquidity and stock returns: cross-section and time-series effects
4. CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE- TO CONTINUOUS-TIME FINANCIAL MODELS
5. Coherent Measures of Risk
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1. Opciones exóticas;Lecturas de Economía;2021-05-26
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4. New mathematical and statistical methods for actuarial science and finance;The European Journal of Finance;2020-01-09
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