Non-tradability interval for heterogeneous rational players in the option markets

DOI10.1007/s10287-021-00413-9OpenAlexW3189042128MaRDI QIDQ2127366

Yossi Shvimer, Avi Herbon

Publication date: 20 April 2022

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-021-00413-9

zbMATH Keywords

option pricingheterogeneous playersBid-Ask spreadsnon-tradability interval

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Risk, uncertainty, and option exercise
• Multi-purpose binomial model: fitting all moments to the underlying geometric Brownian motion
• Dequantization of the Dirac monopole

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