Well posedness and comparison principle for option pricing with switching liquidity
نویسندگان
چکیده
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...
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Article history: Received 27 September 2016 Available online xxxx Submitted by A. Sulem
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ژورنال
عنوان ژورنال: Nonlinear Analysis: Real World Applications
سال: 2018
ISSN: 1468-1218
DOI: 10.1016/j.nonrwa.2018.03.006