Option pricing with illiquidity during a high volatile period

DOI10.1002/mma.7612OpenAlexW3177150850MaRDI QIDQ6139713

Youssef El-Khatib, Abdulnasser Hatemi-J

Publication date: 19 December 2023

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.7612

zbMATH Keywords

stochastic processesnumerical methodsfinancial crisisPDEsilliquid marketsderivatives securities

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (1)

An adaptive model for security prices driven by latent values: parameter estimation and option pricing effects

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Calcul stochastique et problèmes de martingales
• Numerical analysis and computing for option pricing models in illiquid markets
• Option pricing with an illiquid underlying asset market
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• On option pricing in illiquid markets with jumps

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