Discrete-time option pricing with stochastic liquidity

Author:

Leippold MarkusORCID,Schärer Steven

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference45 articles.

1. Approximating stochastic volatility by recombinant trees;Akyıldırım;Ann. App. Probab.,2014

2. Implied liquidity: model sensitivity;Albrecher;J. Empirical Finance,2013

3. Coherent measures of risk;Artzner;Math. Finance,1999

4. Coherent multiperiod risk adjusted values and Bellman’s principle;Artzner;Ann. Oper. Res.,2007

5. On the calibration of distortion risk measures to bid-ask prices;Bannör;Quant. Finance,2014

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