Pricing vulnerable options with stochastic liquidity risk-Reference-Cited by-同舟云学术

Pricing vulnerable options with stochastic liquidity risk

Published:2022-04 Issue: Volume:60 Page:101637
ISSN:1062-9408
Container-title:The North American Journal of Economics and Finance
language:en
Short-container-title:The North American Journal of Economics and Finance

Author:

Wang Xingchun^ORCID

Funder

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference35 articles.

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4. Empirical performance of alternative option pricing models;Bakshi;The Journal of Finance,1997

5. Brunetti, C., & Caldarera, A. (2006). Asset prices and asset correlations in illiquid markets. Working Paper, Available at SSRN: https://ssrn.com/abstract=625184.

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