Analytically pricing exchange options with stochastic liquidity and regime switching
Year of publication: |
2023
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Authors: | He, Xin-Jiang ; Lin, Sha |
Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 43.2023, 5, p. 662-676
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Subject: | analytical solution | continuous-time Markov chain | exchange options | liquidity risks | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Optionsgeschäft | Option trading |
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