An American call is worth more than a European call : the value of American exercise when the market is not perfectly liquid
Year of publication: |
2022
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Authors: | Figlewski, Stephen |
Published in: |
Journal of financial and quantitative analysis : JFQA. - Seattle, Wash. : [Verlag nicht ermittelbar], ISSN 1756-6916, ZDB-ID 2010249-5. - Vol. 57.2022, 3, p. 1023-1057
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Subject: | Optionspreistheorie | Option pricing theory | Marktliquidität | Market liquidity | Geld-Brief-Spanne | Bid-ask spread | USA | United States |
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