Analytic formula for option margin with liquidity costs under dynamic delta hedging
Kyungsub Lee and Byoung Ki Seo
| Year of publication: |
2021
|
|---|---|
| Authors: | Lee, Kyungsub ; Seo, Byoung Ki |
| Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 53.2021, 29, p. 3391-3407
|
| Subject: | delta hedging | European option | limit order | Liquidity cost | quadratic variation | Hedging | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model | Liquidität | Liquidity |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2021.1881430 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012589463