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On arbitrage and duality under model uncertainty and portfolio constraints
Bayraktar, Erhan; Zhou, Zhou - In: Mathematical finance : an international journal of … 27 (2017) 4, pp. 988-1012
Persistent link: https://www.econbiz.de/10011765002
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Asset pricing and hedging in financial markets with fixed and proportional transaction costs
Babaei, Esmaeil - In: Annals of finance 20 (2024) 2, pp. 259-275
Persistent link: https://www.econbiz.de/10014566422
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Stock Illiquidity, option prices, and option returns
Kanne, Stefan; Korn, Olaf; Uhrig-Homburg, Marliese - 2016 - Current version: July 2016
We provide evidence of a strong effect of the underlying stock's illiquidity on option prices by showing that the … average absolute difference between historical and implied volatility increases with stock illiquidity. This pattern … chosen illiquidity measure, the measure of option expensiveness, and the return period. …
Persistent link: https://www.econbiz.de/10011539242
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Optimal investment and contingent claim valuation in illiquid markets
Pennanen, Teemu - In: Finance and stochastics 18 (2014) 4, pp. 733-754
Persistent link: https://www.econbiz.de/10010413679
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Variance disparity and market frictions
Park, Yang-Ho - In: Journal of econometrics 214 (2020) 2, pp. 326-348
Persistent link: https://www.econbiz.de/10012438393
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Variance disparity and market frictions
Park, Yang-Ho - 2019
illiquidity, market illiquidity, and asymmetric information. When they are segmented, VIX derivatives contribute more to the …
Persistent link: https://www.econbiz.de/10012182042
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A variation of Merton's corporate bond valuation model for firms with illiquid but observable assets
Dong, Juan; Korobenko, Lyudmila; Sezer, A. Deniz - In: Quantitative finance 20 (2020) 3, pp. 483-497
Persistent link: https://www.econbiz.de/10012194903
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Closed-form solution to a real option problem with regime switching
Nishihara, Michi - In: Operations research letters 48 (2020) 6, pp. 703-707
Persistent link: https://www.econbiz.de/10012430068
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Options illiquidity in an over-the-counter market
Ahn, Jungkyu - In: International review of financial analysis 94 (2024), pp. 1-15
Persistent link: https://www.econbiz.de/10014544018
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Stock illiquidity and option returns
Kanne, Stefan; Korn, Olaf; Uhrig-Homburg, Marliese - In: Journal of financial markets 63 (2023), pp. 1-19
Persistent link: https://www.econbiz.de/10014278623