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A simple model of liquidity effects
Rogers, Leonard C. G.; Zane, Omar - In: Advances in finance and stochastics : essays in honour …, (pp. 161-176). 2002
Persistent link: https://www.econbiz.de/10001672232
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Does the behaviour of the asset tell us anything about the option price formula? : A cautionary tale
Rogers, Leonard C. G.; Satchell, Stephen - In: Applied financial economics 10 (2000) 1, pp. 37-39
Persistent link: https://www.econbiz.de/10001525779
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The cost of illiquidity and its effects on hedging
Rogers, Leonard C. G.; Singh, Surbjeet - In: Mathematical finance : an international journal of … 20 (2010) 4, pp. 597-615
Persistent link: https://www.econbiz.de/10008666989
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Volatility forecasting in a tick data model
Rogers, Leonard C. G. - In: Forecasting volatility in the financial markets, (pp. 295-299). 2007
Persistent link: https://www.econbiz.de/10003872998
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Stocks paying discrete dividends : modeling and option pricing
Korn, Ralf; Rogers, Leonard C. G. - In: The journal of derivatives : the official publication … 13 (2005) 2, pp. 44-48
Persistent link: https://www.econbiz.de/10003299545