A closed-form pricing formula for European options with market liquidity risk.
Puneet PasrichaSong-Ping ZhuXin-Jiang HePublished in: Expert Syst. Appl. (2022)
Keyphrases
- closed form
- black scholes
- option pricing
- financial markets
- black scholes model
- stock price
- convertible bonds
- decision analysis
- portfolio optimization
- stock market
- stock exchange
- closed form solutions
- portfolio selection
- futures market
- iterative procedure
- real option
- point correspondences
- non stationary
- financial data
- closed form expressions
- pricing model