Valuation of general contingent claims with short selling bans : an equal-risk pricing approach
Year of publication: |
2022
|
---|---|
Authors: | Ma, Guiyuan ; Zhu, Song-Ping ; Guo, Ivan |
Published in: |
International journal of theoretical and applied finance : IJTAF. - Singapore : World Scientific, ZDB-ID 2027376-9. - Vol. 25.2022, 4/5, Art.-No. 2250022, p. 1-33
|
Subject: | Equal-risk pricing (ERP) | non-monotonic payoff | short selling bans | valuation of contingent claims | Leerverkauf | Short selling | Optionspreistheorie | Option pricing theory | Finanzmarktregulierung | Financial market regulation | CAPM |
-
The effect of short sale constraint removal on volatility in the presence of heterogeneous beliefs
Kraus, Alan Francis, (2003)
-
Policy shifts and Markov-switching in financial markets
Reher, Gerrit, (2010)
-
The 2011 European short sale ban : a cure or a curse?
FĂ©lix, Luiz, (2016)
- More ...
-
Revisiting the Merton problem : from HARA to CARA utility
Ma, Guiyuan, (2022)
-
Pricing European Call Options Under a Hard-to-Borrow Stock
Ma, Guiyuan, (2017)
-
Optimal Investment and Consumption with Return Predictability and Execution Costs
Ma, Guiyuan, (2019)
- More ...