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Market illiquidity and bounds on European option prices

Matos, João Amaro de; Antão, Paula - In: The European journal of finance 9 (2003) 5, pp. 475-498

Persistent link: https://www.econbiz.de/10001886025

Super-replicating Bounds on European Option Prices when the Underlying Asset is Illiquid

Matos, João Amaro de; Antão, Paula - In: Economics Bulletin 7 (2001) 1, pp. 1-7

We derive super-replicating bounds on European option prices when the underlying asset is illiquid. Illiquidity is taken as the impossibility of transacting the underlying asset at some points in time, generating market incompleteness. We conclude that option price bounds follow a Black-Scholes...

Persistent link: https://www.econbiz.de/10005110970

Market illiquidity and bounds on European option prices

De Matos, João Amaro; Antão, Paula - In: The European journal of finance 9 (2003) 5, pp. 475-498

Persistent link: https://www.econbiz.de/10007791361

Theoretical foundations of corporate finance

Amaro de Matos, João M.; Matos, João Amaro de - 2001

Persistent link: https://www.econbiz.de/10001619589

On the value of European options on a stock paying a discrete dividend

Matos, João Amaro de; Dilão, Rui; Ferreira, Bruno - In: Journal of modelling in management 4 (2009) 3, pp. 235-248

Persistent link: https://www.econbiz.de/10003920274

Testing the Markov property with high frequency data

Matos, João Amaro de; Fernandes, Marcelo - In: Journal of econometrics 141 (2007) 1, pp. 44-64

Persistent link: https://www.econbiz.de/10003571253

Sustainability and organizational change

Matos, João Amaro de; Clegg, Stewart - In: Sustainability and organizational change management, (pp. 1-5). 2016

Persistent link: https://www.econbiz.de/10011416713

Attitude change in arbitrarily large organizations

Almeida-Costa, Luis; Matos, João Amaro de - In: Computational and mathematical organization theory 20 (2014) 3, pp. 219-251

Persistent link: https://www.econbiz.de/10010401301

Consuming durable goods when stock markets jump : a strategic asset allocation approach

Matos, João Amaro de; Silva, Nuno - In: Journal of economic dynamics & control 42 (2014), pp. 86-104

Persistent link: https://www.econbiz.de/10010429970

Venture capital as human resource management

Carvalho, Antonio Gledson de; Calomiris, Charles W.; … - In: Journal of economics & business 60 (2008) 3, pp. 223-255

Persistent link: https://www.econbiz.de/10003749132