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Option implied stock buy-side and sell-side market depths
Tsai, Feng-Tse - In: Risks : open access journal 7 (2019) 4/108, pp. 1-16
This paper investigates option valuation when the underlying market suffers from illiquidity of price impact. Using option data, I infer trading activities and price impacts on the buy side and the sell side in the stock market from option prices across maturities. The finding displays that the...
Persistent link: https://www.econbiz.de/10012127886
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Sequential entry in illiquid markets
Fardeau, Vincent - 2022
Persistent link: https://www.econbiz.de/10013256033
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Insider trading, stochastic liquidity, and equilibrium prices
Collin-Dufresne, Pierre; Fos, Vyacheslav - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 4, pp. 1441-1475
Persistent link: https://www.econbiz.de/10011611102
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Large bets and stock market crashes
Kyle, Albert S.; Obižaeva, Anna - In: Review of finance : journal of the European Finance … 27 (2023) 6, pp. 2163-2203
Persistent link: https://www.econbiz.de/10014445768
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Sequential entry in illiquid markets
Fardeau, Vincent - In: Journal of financial markets 64 (2023), pp. 1-34
Persistent link: https://www.econbiz.de/10014466280
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Utility maximization in an illiquid market in continuous time
Soner, Halil Mete; Vukelja, Mirjana - In: Mathematical methods of operations research 84 (2016) 2, pp. 285-321
Persistent link: https://www.econbiz.de/10011673528
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Pension liquidity risk
Jansen, Kristy A. E.; Klingler, Sven; Ranaldo, Angelo; … - 2024
Persistent link: https://www.econbiz.de/10014483543
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Pension liquidity risk
Jansen, Kristy A. E.; Klingler, Sven; Ranaldo, Angelo; … - 2024
Persistent link: https://www.econbiz.de/10014486912
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Option pricing with stochastic liquidity risk : theory and evidence
Feng, Shih-ping; Hung, Mao-Wei; Wang, Yaw-huei - In: Journal of financial markets 18 (2014), pp. 77-95
Persistent link: https://www.econbiz.de/10010442476
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Option valuation with liquidity risk and jumps
Zhang, Hai; Ku, Hyejin - In: Applied economics letters 25 (2018) 6, pp. 381-387
Persistent link: https://www.econbiz.de/10011854549