Determining bid-ask prices for options with stochastic illiquidity and applications to index options
Year of publication: |
2024
|
---|---|
Authors: | Chuang, Ming-Che ; Tsai, Jeffrey Tzuhao |
Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 2013015-6. - Vol. 84.2024, Art.-No. 102314, p. 1-22
|
Subject: | Coherent risk measure | Fourier cosine series expansion | Illiquidity smile | Illiquidity smirk | Joint calibration | Stochastic illiquidity | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Marktliquidität | Market liquidity | Liquidität | Liquidity | Portfolio-Management | Portfolio selection | Volatilität | Volatility |
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