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Pricing discrete barrier options under jump-diffusion model with liquidity risk
16 references·2 citing·34 second hop
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 2002A Jump-Diffusion Model for Option Pricing1,895 cited
  • 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns1,555 cited
  • 1998Liquidity and stock returns: An alternative test1,318 cited
  • 2008A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions718 cited
  • 2003Time-changed Lévy processes and option pricing674 cited
  • 2004Option Pricing Under a Double Exponential Jump Diffusion Model654 cited
  • 1995Option pricing by Esscher transforms.651 cited

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  • 1989The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns522 cited
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    • 2023Analytically pricing exchange options with stochastic liquidity and regime switching36 cited
    • 2022A closed-form pricing formula for European options in an illiquid asset market28 cited