Discrete-time option pricing with stochastic liquidity
Year of publication: |
February 2017
|
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Authors: | Leippold, Markus ; Schärer, Steven |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 75.2017, p. 1-16
|
Subject: | Market liquidity | Bid-Ask spreads | Option pricing | Stochastic liquidity | Conic finance | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Liquidität | Liquidity | Marktliquidität | Geld-Brief-Spanne | Bid-ask spread | Derivat | Derivative |
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