EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Liquidity Risk and Classical Option Pricing Theory

The purpose of this paper is to review the recent derivatives security research involving liquidity risk and to summarize its implications for practical risk management. The literature supports three general conclusions. The first is that the classical option price is "on average" true, even given liquidity risk. Second, it is well known that although the classical (theoretical) option hedge ca...

متن کامل

Liquidity Risk and Option Pricing Theory

This paper summarizes the recent advances of Çetin [6], Çetin, Jarrow and Protter [7], Çetin, Jarrow, Protter and Warachka [8], Blais [4], and Blais and Protter [5] on the inclusion of liquidity risk into option pricing theory. This research provides new insights into the relevance of the classical techniques used in continuous time finance for practical risk management.

متن کامل

Numerical Solution of Pricing of European Put Option with Stochastic Volatility

In this paper, European option pricing with stochastic volatility forecasted by well known GARCH model is discussed in context of Indian financial market. The data of Reliance Ltd. stockprice from 3/01/2000 to 30/03/2009 is used and resulting partial differential equation is solved byCrank-Nicolson finite difference method for various interest rates and maturity in time. Thesensitivity measures...

متن کامل

European option pricing of fractional Black-Scholes model with new Lagrange multipliers

In this paper, a new identification of the Lagrange multipliers by means of the Sumudu transform, is employed to  btain a quick and accurate solution to the fractional Black-Scholes equation with the initial condition for a European option pricing problem. Undoubtedly this model is the most well known model for pricing financial derivatives. The fractional derivatives is described in Caputo sen...

متن کامل

Investment system specific European option pricing intervals

Consider an investment system with a nonnegative expected return in a one period economy. We show that, for an option with a given strike price, there exists a pricing interval [pC , pW ] such that replacing the original investment with the option will benefit judging by the Kelly criterion only when the price of the option lies outside of the interval. More specifically, buying call options wi...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: International Journal of Theoretical and Applied Finance

سال: 2013

ISSN: 0219-0249,1793-6322

DOI: 10.1142/s021902491350043x