Conserving Capital by Adjusting Deltas for Gamma in the Presence of Skewness
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Citations
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Cited by:
- Leippold, Markus & Schärer, Steven, 2017.
"Discrete-time option pricing with stochastic liquidity,"
Journal of Banking & Finance, Elsevier, vol. 75(C), pages 1-16.
- Markus Leippold & Steven Schaerer, 2016. "Discrete-Time Option Pricing with Stochastic Liquidity," Swiss Finance Institute Research Paper Series 16-15, Swiss Finance Institute.
- Ziming Dong & Dan Tang & Xingchun Wang, 2023. "Pricing vulnerable basket spread options with liquidity risk," Review of Derivatives Research, Springer, vol. 26(1), pages 23-50, April.
- Wang, Xingchun, 2022. "Pricing vulnerable options with stochastic liquidity risk," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
- Hestia Jacomina Stoffberg & Gary van Vuuren, 2016. "Asset correlations in single factor credit risk models: an empirical investigation," Applied Economics, Taylor & Francis Journals, vol. 48(17), pages 1602-1617, April.
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Keywords
Bid and ask prices; concave distortions; non linear expectations; variance gamma model; non-uniform grids;All these keywords.
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