Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence-Reference-Cited by-同舟云学术

Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence

Author:

Çetin U.,Jarrow R.,Protter P.,Warachka M.

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics,Finance,Accounting

Link

Reference20 articles.

1. Bielecki, T. , and M. Rutkowski, 2002, Credit Risk: Modeling, Valuation and Hedging, Springer-Verlag, New York.

2. Blais, M. , and P. Protter, 2005, “An Analysis of the Supply Curve for Liquidity Risk through Book Data,” Working paper, Cornell University.

3. Çetin, U. , 2003, “Default and Liquidity Risk Modeling,” (Ph.D. thesis), Cornell University.

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