A closed-form pricing formula for European options with market liquidity risk-Reference-Cited by-同舟云学术

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A closed-form pricing formula for European options with market liquidity risk

Published:2022-03 Issue: Volume:189 Page:116128
ISSN:0957-4174
Container-title:Expert Systems with Applications
language:en
Short-container-title:Expert Systems with Applications

Author:

Pasricha Puneet^ORCID,Zhu Song-Ping,He Xin-Jiang^ORCID

Funder

Australian Research Council

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Artificial Intelligence,Computer Science Applications,General Engineering

Reference21 articles.

1. Implied liquidity: Model sensitivity;Albrecher;Journal of Empirical Finance,2013

2. Asset prices and asset correlations in illiquid markets;Brunetti,2004

3. Liquidity risk and arbitrage pricing theory;Cetin;Finance and Stochastics,2004

4. Indefinite quadratic functionals of Gaussian processes and least-action paths;Chan;Annales de l’IHP Probabilités et Statistiques,1991

5. Implied liquidity-towards stochastic liquidity modeling and liquidity trading;Corcuera,2010

Cited by 4 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. The valuation of American options with the stochastic liquidity risk and jump risk;Physica A: Statistical Mechanics and its Applications;2024-09

2. Pricing quanto options with market liquidity risk;PLOS ONE;2023-09-28

3. Exchange options with stochastic liquidity risk;Expert Systems with Applications;2023-08

4. Valuation of vulnerable European options with market liquidity risk;Probability in the Engineering and Informational Sciences;2022-12-27

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