framework is illustrated by an application that deals with the pricing of a liquidity derivative. The second chapter focuses on … liquidity. The framework generalizes existing models by introducing a stochastic liquidity factor. The flexibility of the …

This paper focuses on the search for a summary quantitative measure for option liquidity that is economically …-quote price) not only leads to liquidity ranking of options that is contrary to the popular view, but it is also biased against … lower priced options and hence can lead to erroneous conclusion about liquidity risk premium of options. To gain economic …