The impact of liquidity on option prices (original) (raw)
Related papers
A semiparametric estimation of liquidity effects on option pricing
Spanish Economic Review, 2003
Option pricing for Informed Traders
arXiv (Cornell University), 2017
Do the options markets really overreact?
Journal of Futures Markets, 1993
An Empirical Study of Stock and American Option Prices
SSRN Electronic Journal, 2011
Failure Is an Option: Impediments to Short Selling and Options Prices
Review of Financial Studies, 2007
Options Listing, Market Liquidity and Stock Behaviour: Some Canadian Evidence
Journal of Business Finance & Accounting, 1993
The Cross-Section of Individual Equity Option Returns
SSRN Electronic Journal, 2021
Competition, interlisting and market structure in options trading
Journal of Banking & Finance, 2011
The Valuation of Options on Capacity
Lecture Notes in Economics and Mathematical Systems, 2003
The pricing theory of Asian options
2007
Option Pricing Incorporating Factor Dynamics in Complete Markets
arXiv (Cornell University), 2020
The comovement of option listed stocks
Journal of Banking & Finance, 2011
Asia-Pacific Currency Options Pricing Analysis
Procedia - Social and Behavioral Sciences, 2012
Option Pricing in an Investment Risk-Return Setting
arXiv (Cornell University), 2020
The hypotheses underlying the pricing of options: a note on a paper by Bartels
1997
Some Properties for the American Option-Pricing Model
Journal of Mathematical Finance, 2012
Dynamic option pricing with endogenous stochastic arbitrage
Physica A: Statistical Mechanics and its Applications, 2010
Exploring Option Pricing and Hedging via Volatility Asymmetry
SSRN Electronic Journal, 2015
Empirical tests of efficiency of the Italian index options market
Journal of Empirical Finance, 2000
Systematic liquidity, characteristic liquidity and asset pricing
Applied Financial Economics, 2009
Modeling Volatility in Foreign Currency Option Pricing
Multinational Finance Journal, 2009
The pricing of convexity risk and timedecay in options markets
Journal of Banking & Finance, 1994
Option price sensitivities through fuzzy numbers
Computers & Mathematics with Applications, 2011
Empirical tests of valuation models for options on t-note and t-bond futures
Journal of Futures Markets, 1993
Exchange option pricing under stochastic volatility: a correlation expansion
Review of Derivatives Research, 2009
A study on the efficiency of the market for Dutch long-term call options
The European Journal of Finance, 1998
Option Pricing with Greed and Fear Factor: The Rational Finance Approach
The Journal of Derivatives, 2021
Uncertainty, market structure, and liquidity
Journal of Financial Economics, 2014
Liquidity risk and arbitrage pricing theory
Finance and Stochastics, 2004
The valuation of options on capacity with cost and demand uncertainty
European Journal of Operational Research, 2006
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy
Mathematical Finance, 1992
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models
SSRN Electronic Journal, 2018
Enhancing binomial and trinomial equity option pricing models
Finance Research Letters, 2019
Pricing Cryptocurrency Options
Enlighten: Publications (The University of Glasgow), 2020
Preposterior analysis for option pricing
Quantitative Finance, 2004