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Discrete-time option pricing with stochastic liquidity
Leippold, Markus; Schärer, Steven - 2016
Classical option pricing theories are usually built on the law of one price, neglecting the impact of market liquidity … liquidity model, extending the discrete-time constant liquidity model of Madan (2010). With this extension, we can replicate the … stochastic liquidity model within our framework using multidimensional binomial trees and we calibrate it to call and put options …
Persistent link: https://www.econbiz.de/10011515968
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Discrete-time option pricing with stochastic liquidity
Leippold, Markus; Schärer, Steven - In: Journal of banking & finance 75 (2017), pp. 1-16
Persistent link: https://www.econbiz.de/10011742148
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Risk management through financial hedging in inventory systems with stochastic price processes
Canyakmaz, Caner; Özekici, Süleyman; Karaesmen, Fikri - In: International journal of production economics 270 (2024), pp. 1-15
Persistent link: https://www.econbiz.de/10015049188
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Price setting of market makers : a filtering problem with endogenous filtration
Kühn, Christoph; Riedel, Matthias - In: Mathematical finance : an international journal of … 27 (2017) 1, pp. 251-275
Persistent link: https://www.econbiz.de/10011739454
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How fundamental is the one-period trinomial model to European option pricing bounds : a new methodological approach
Braouezec, Yann - In: Finance research letters 21 (2017), pp. 92-99
Persistent link: https://www.econbiz.de/10011807511
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A mathematical approach to order book modeling
Abergel, Frédéric; Jedidi, Aymen - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-40
Persistent link: https://www.econbiz.de/10009784056
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Limit order strategic placement with adverse selection risk and the role of latency
Lehalle, Charles-Albert; Mounjid, Othmane - In: Market microstructure and liquidity 3 (2017) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10011778311
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Modelling trades-through in a limit order book using hawkes processes
Toke, Ioane Muni; Pomponio, Fabrizio - 2012
The authors model trades-through, i.e. transactions that reach at least the second level of limit orders in an order book. Using tick-by-tick data on Euronext-traded stocks, they show that a simple bivariate Hawkes process fits nicely their empirical observations of tradesthrough. The authors...
Persistent link: https://www.econbiz.de/10009550135
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Modelling trades-through in a limited order book using Hawkes processes
Muni Toke, Ioane; Pomponio, Fabrizio - 2011
We model trades-through, i.e. transactions that reach at least the second level of limit orders in an order book. Using tick-by-tick data on Euronext-traded stocks, we show that a simple bivariate Hawkes process fits nicely our empirical observations of trades-through. We show that the...
Persistent link: https://www.econbiz.de/10009244219
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Modelling Trades-Through in a Limited Order Book Using Hawkes Processes
Muni Toke, Ioane - 2011
We model trades-through, i.e. transactions that reach at least the second level of limit orders in an order book. Using tick-by-tick data on Euronext-traded stocks, we show that a simple bivariate Hawkes process fits nicely our empirical observations of trades-through. We show that the...
Persistent link: https://www.econbiz.de/10013117412