A revised option pricing formula with the underlying being banned from short selling

DOI10.1080/14697688.2020.1718193zbMath1454.91289OpenAlexW3006743854MaRDI QIDQ5139206

Xin-Jiang He, Song-Ping Zhu

Publication date: 7 December 2020

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1718193

zbMATH Keywords

option pricingdilutionclosed-formshort-selling bancorrelated asset

Mathematics Subject Classification ID

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

Related Items

AN EMPIRICAL ANALYSIS OF OPTION PRICING WITH SHORT SELL BANS, Optimal exercise of American puts with transaction costs under utility maximization, VALUATION OF GENERAL CONTINGENT CLAIMS WITH SHORT SELLING BANS: AN EQUAL-RISK PRICING APPROACH

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