Pricing index options by static hedging under finite liquidity
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References listed on IDEAS
- Alan J. King & Matti Koivu & Teemu Pennanen, 2005. "Calibrated Option Bounds," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 141-159.
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Cited by:
- Teemu Pennanen & Udomsak Rakwongwan, 2020. "Optimal semi-static hedging in illiquid markets," Papers 2008.01463, arXiv.org.
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