Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

A stochastic liquidity risk model with stochastic volatility and its applications to option pricing

16 references·2 citing·41 second hopsampled

FromToDepth

this work references cited by second hop· second hop is a sample of the most-cited connections

References

1973The Pricing of Options and Corporate Liabilities29,064 cited
1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
2009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well540 cited
2011On the Heston Model with Stochastic Interest Rates248 cited
2010MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE168 cited
2001The Liquidity Discount138 cited
2005Option pricing with an illiquid underlying asset market134 cited
2012Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case102 cited
2013Option pricing with stochastic liquidity risk: Theory and evidence74 cited
2016Discrete-time option pricing with stochastic liquidity51 cited
2016The importance of stock liquidity on option pricing43 cited
2018Option pricing with linear market impact and nonlinear Black–Scholes equations42 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2004

Asset Prices and Asset Correlations in Illiquid Markets

38 cited

2021Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching37 cited

Cited by

2024Analytical formulae for variance and volatility swaps with stochastic volatility, stochastic equilibrium level and regime switching19 cited
2024Closed‐Form Formulae for Variance and Volatility Swaps Under Stochastic Volatility With Stochastic Liquidity Risks18 cited