Implied liquidity risk premia in option markets

DOI10.1007/s10436-018-0339-yOpenAlexW2890116935WikidataQ129235242 ScholiaQ129235242MaRDI QIDQ2000692

Peter Leoni, Gero Junike, Wim Schoutens, Florence Guillaume

Publication date: 28 June 2019

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://lirias.kuleuven.be/handle/123456789/647786

zbMATH Keywords

distortion functionsconic financeLaplace distortionWANG-transform

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Valuation of bid and ask prices for European options under mixed fractional Brownian motion ⋮ Estimation of the bid-ask prices for the European discrete geometric average and arithmetic average Asian options

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