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Option pricing with stochastic liquidity risk: Theory and evidence · Study

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ArticleOption pricing with stochastic liquidity risk: Theory and evidence

Shih-Ping Feng2013

Article2013

Option pricing with stochastic liquidity risk: Theory and evidence

Shih-Ping Feng · Mao‐Wei Hung · Yaw‐Huei Wang

74 citations·0/0 files stored·Journal of Financial Markets

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

2002Illiquidity and stock returns: cross-section and time-series effects 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2003Liquidity Risk and Expected Stock Returns 2005Asset pricing with liquidity risk 1997Empirical Performance of Alternative Option Pricing Models 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 2000Commonality in liquidity 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns

Cited by

2021The effects of commodity financialization on commodity market volatility 2016Discrete-time option pricing with stochastic liquidity 2018Pricing discrete barrier options under jump-diffusion model with liquidity risk 2018European quanto option pricing in presence of liquidity risk 2023Analytically pricing exchange options with stochastic liquidity and regime switching

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2016The importance of stock liquidity on option pricingarticle · 16 shared references 2018Pricing discrete barrier options under jump-diffusion model with liquidity riskarticle · 10 shared references 2018European quanto option pricing in presence of liquidity riskarticle · 10 shared references 2018Analytical valuation for geometric Asian options in illiquid marketsarticle · 9 shared references 2017Illiquidity Premia in the Equity Options Marketarticle · 8 shared references 2012Illiquidity Premia in the Equity Options Marketpreprint · 7 shared references

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Year2013

Typearticle

Published2013-05-27

VenueJournal of Financial Markets

ISSN-L1386-4181

Languageen

Citations74

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.finmar.2013.05.002

openalex_workW2033095387

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2019

Derivatives pricing with liquidity risk

2018Return and volatility co-movement in commodity futures markets: the effects of liquidity risk

2022A closed-form pricing formula for European options in an illiquid asset market