The valuation of American options with the stochastic liquidity risk and jump risk-Reference-Cited by-同舟云学术

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The valuation of American options with the stochastic liquidity risk and jump risk

Published:2024-09 Issue: Volume:650 Page:129911
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Zhang Hongyu,Guo Xunxiang,Wang Ke^ORCID,Huang Shoude

Publisher

Elsevier BV

Reference66 articles.

1. Liquidity and stock returns;Amihud;Financ. Anal. J.,1986

2. The effects of beta, bid-ask spread, residual risk, and size on stock returns;Amihud;J. Finance,1989

3. The seasonal behavior of the liquidity premium in asset pricing;Eleswarapu;J. Financ. Econ.,1993

4. Market microstructure and asset pricing: On the compensation for illiquidity in stock returns;Brennan;J. Financ. Econ.,1996

5. Liquidity risk and expected stock returns;Pástor;J. Political Econ.,2003

Cited by 1 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. Analytically Pricing a Vulnerable Option under a Stochastic Liquidity Risk Model with Stochastic Volatility;Mathematics;2024-08-26

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