The effects of transaction costs and illiquidity on the prices of volatility derivatives
Mehzabeen Jumanah Dilloo and Désiré Yannick Tangman
| Year of publication: |
2021
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|---|---|
| Authors: | Dilloo, Mehzabeen Jumanah ; Tangman, Désiré Yannick |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 25.2021, 1, p. 51-75
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| Subject: | transaction costs models | illiquidity models | volatility derivatives | local mesh refinement | high-order finite-difference schemes | Transaktionskosten | Transaction costs | Volatilität | Volatility | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Marktliquidität | Market liquidity |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2021.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012672309