Pricing vulnerable options with stochastic liquidity risk
Xingchun Wang
| Year of publication: |
2022
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|---|---|
| Authors: | Wang, Xingchun |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 60.2022, p. 1-10
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| Subject: | Counterparty default risk | OTC markets | Stochastic liquidity risk | Vulnerable options | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | OTC-Handel | OTC market | Kreditrisiko | Credit risk | Derivat | Derivative | Liquidität | Liquidity | Risiko | Risk | Optionsgeschäft | Option trading | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2021.101637 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013449096