Numerical pricing of exchange option with stock liquidity under Bayesian statistical method
Author:
Affiliation:
1. College of Finance and Statistics, Hunan University, Changsha, China
2. School of Mathematics, Hunan University, Changsha, China
3. School of Business Administration, Hunan University, Changsha, China
Funder
National Natural Science Foundation of China
Publisher
Informa UK Limited
Subject
Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03610926.2020.1793364
Reference32 articles.
1. Liquidity and Stock Returns
2. Exchange option pricing under stochastic volatility: a correlation expansion
3. Brunetti, C., and A. Caldarera. 2006. Asset prices and asset correlations in illiquid markets. Computing in Economics & Finance.
4. MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
5. Exchange Options Under Jump-Diffusion Dynamics
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