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EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS - MaRDI portal

EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS (Q5746930)

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scientific article; zbMATH DE number 6256766
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EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS
scientific article; zbMATH DE number 6256766

    Statements

    title
    EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS (English)
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    author
    Michael Ludkovski
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    Qunying Shen
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    publication date
    11 February 2014
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    zbMATH Keywords
    liquidity shock
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    indifference price
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    exponential utility maximization
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    Identifiers

    zbMATH DE Number
    6256766
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    arXiv ID
    1205.1007
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    OpenAlex ID
    W1922454580
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