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Conic quantization: stochastic volatility and market implied liquidity

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  • Lucio Fiorin
  • Wim Schoutens

Abstract

Market implied liquidity links the pricing of European options under stochastic volatility with the Conic Finance theory of two prices

Suggested Citation

  • Lucio Fiorin & Wim Schoutens, 2020. "Conic quantization: stochastic volatility and market implied liquidity," Quantitative Finance, Taylor & Francis Journals, vol. 20(4), pages 531-542, April.
    • Handle: RePEc:taf:quantf:v:20:y:2020:i:4:p:531-542
    DOI: 10.1080/14697688.2019.1687928
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    References listed on IDEAS

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