A closed-form pricing formula for European options in an illiquid asset market
Year of publication: |
2022
|
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Authors: | Pasricha, Puneet ; Zhu, Song-Ping ; He, Xin-Jiang |
Published in: |
Financial innovation : FIN. - Heidelberg : SpringerOpen, ISSN 2199-4730, ZDB-ID 2824759-0. - Vol. 8.2022, Art.-No. 30, p. 1-18
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Subject: | Characteristic function | Conditional distribution | European options | Liquidity discounting factor | Liquidity risk | Optionspreistheorie | Option pricing theory | Finanzmarkt | Financial market | CAPM | Liquidität | Liquidity | EU-Staaten | EU countries | Optionsgeschäft | Option trading |
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