Option pricing with an illiquid underlying asset market

Citations

Cited by:

1. Masaaki Kijima & Christopher Ting, 2019. "Market Price Of Trading Liquidity Risk And Market Depth," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-36, December.
2. Emilio Said, 2019. "How Option Hedging Shapes Market Impact," Papers 1910.05056, arXiv.org, revised Nov 2019.
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5. Youssef El-Khatib & Abdulnasser Hatemi-J, 2013. "On option pricing in illiquid markets with jumps," Papers 1304.4690, arXiv.org.
6. Bruno Bouchard & Xiaolu Tan, 2022. "Understanding the dual formulation for the hedging of path-dependent options with price impact," Post-Print hal-02398881, HAL.
7. Sungjun Cho & Chanaka N. Ganepola & Ian Garrett, 2019. "An analysis of illiquidity in commodity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(8), pages 962-984, August.
8. Masaaki Kijima & Christopher Ting, 2019. "Market Price of Trading Liquidity Risk and Market Depth," Papers 1912.04565, arXiv.org.
9. B Bouchard & G Loeper & Y Zou, 2015. "Almost-sure hedging with permanent price impact," Working Papers hal-01133223, HAL.
10. B Bouchard & G Loeper & Y Zou, 2015. "Hedging of covered options with linear market impact and gamma constraint," Papers 1512.07087, arXiv.org.
11. Company, Rafael & Jódar, Lucas & Pintos, José-Ramón, 2012. "A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 82(10), pages 1972-1985.
12. Ljudmila A. Bordag & Ruediger Frey, 2007. "Nonlinear option pricing models for illiquid markets: scaling properties and explicit solutions," Papers 0708.1568, arXiv.org.
13. Jinqiang Yang & Zhaojun Yang, 2012. "Arbitrage-free interval and dynamic hedging in an illiquid market," Quantitative Finance, Taylor & Francis Journals, vol. 13(7), pages 1029-1039, May.
14. Michail Anthropelos & Scott Robertson & Konstantinos Spiliopoulos, 2021. "Optimal investment, derivative demand, and arbitrage under price impact," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 3-35, January.
15. Olaf Korn & Paolo Krischak & Erik Theissen, 2019. "Illiquidity transmission from spot to futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(10), pages 1228-1249, October.
    • Korn, Olaf & Krischak, Paolo & Theissen, Erik, 2017. "Illiquidity transmission from spot to futures markets," CFR Working Papers 14-10, University of Cologne, Centre for Financial Research (CFR), revised 2017.
16. Emilio Said, 2019. "How Option Hedging Shapes Market Impact," Working Papers hal-02310080, HAL.
17. B Bouchard & G Loeper & Y Zou, 2015. "Hedging of covered options with linear market impact and gamma constraint," Working Papers hal-01247523, HAL.
18. Kevin S. Zhang & Traian A. Pirvu, 2020. "Numerical Simulation of Exchange Option with Finite Liquidity: Controlled Variate Model," Papers 2006.07771, arXiv.org.
19. Bruno Bouchard & Xiaolu Tan, 2019. "Understanding the dual formulation for the hedging of path-dependent options with price impact," Working Papers hal-02398881, HAL.
20. Gregoire Loeper, 2013. "Option pricing with linear market impact and non-linear Black and Scholes equations," Papers 1301.6252, arXiv.org, revised Aug 2016.
21. Youssef El-Khatib & Abdulnasser Hatemi-J, 2023. "On a regime switching illiquid high volatile prediction model for cryptocurrencies," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 51(2), pages 485-498, July.
    • El-Khatib, Youssef & Hatemi-J, Abdulnasser, 2022. "On a Regime Switching Illiquid High Volatile Prediction Model for Cryptocurrencies," MPRA Paper 114556, University Library of Munich, Germany.
22. Krzysztof Turek, 2014. "Option pricing in constant elasticity of variance model with liquidity costs," Papers 1409.6042, arXiv.org.
23. Frédéric Abergel & Grégoire Loeper, 2013. "Pricing and hedging contingent claims with liquidity costs and market impact," Working Papers hal-00802402, HAL.
24. B. Bouchard & G. Loeper & Y. Zou, 2015. "Almost-sure hedging with permanent price impact," Papers 1503.05475, arXiv.org.
25. Shih-Ping Feng, 2011. "The Liquidity Effect In Option Pricing: An Empirical Analysis," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 5(2), pages 35-43.
26. Xin‐Jiang He & Sha Lin, 2023. "Analytically pricing exchange options with stochastic liquidity and regime switching," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(5), pages 662-676, May.
27. El-khatib, Youssef & Hatemi-J, Abdulnasser, 2013. "On option pricing in illiquid markets with random jumps," MPRA Paper 45172, University Library of Munich, Germany.
28. Sergey Isaenko & Rui Zhong, 2015. "Liquidity premium in the presence of stock market crises and background risk," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 79-90, January.
29. Bruno Bouchard & G Loeper & Y Zou, 2017. "Hedging of covered options with linear market impact and gamma constraint," Post-Print hal-01247523, HAL.
30. Gao, Rui & Li, Yaqiong & Lin, Lisha, 2019. "Bayesian statistical inference for European options with stock liquidity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 518(C), pages 312-322.
31. Behzad Alimoradian & Karim Barigou & Anne Eyraud-Loisel, 2022. "Derivatives under market impact: Disentangling cost and information," Working Papers hal-03668432, HAL.
32. Li, Zhe & Zhang, Wei-Guo & Liu, Yong-Jun & Zhang, Yue, 2019. "Pricing discrete barrier options under jump-diffusion model with liquidity risk," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 347-368.
33. Manuel L. Esquível & Nadezhda P. Krasii & Pedro P. Mota & Victoria V. Shamraeva, 2023. "Coupled Price–Volume Equity Models with Auto-Induced Regime Switching," Risks, MDPI, vol. 11(11), pages 1-20, November.
34. Bruno Bouchard & G Loeper & Y Zou, 2016. "Almost-sure hedging with permanent price impact," Post-Print hal-01133223, HAL.
35. Ibrahim Ekren & Sergey Nadtochiy, 2019. "Utility-based pricing and hedging of contingent claims in Almgren-Chriss model with temporary price impact," Papers 1910.01778, arXiv.org, revised Jun 2020.
36. Xingchun Wang, 2021. "Pricing vulnerable options with jump risk and liquidity risk," Review of Derivatives Research, Springer, vol. 24(3), pages 243-260, October.
37. Zhang, Hongyu & Guo, Xunxiang & Wang, Ke & Huang, Shoude, 2024. "The valuation of American options with the stochastic liquidity risk and jump risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 650(C).
38. Sha Lin & Xin‐Jiang He, 2024. "Closed‐Form Formulae for Variance and Volatility Swaps Under Stochastic Volatility With Stochastic Liquidity Risks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(8), pages 1447-1461, August.
39. Bruno Bouchard & G. Loeper & Y. Zou, 2017. "Hedging of covered options with linear market impact and gamma constraint," Post-Print hal-01611790, HAL.
40. Li, Zhe & Zhang, Weiguo & Zhang, Yue & Yi, Zhigao, 2019. "An analytical approximation approach for pricing European options in a two-price economy," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
41. Michail Anthropelos & Scott Robertson & Konstantinos Spiliopoulos, 2018. "Optimal Investment, Demand and Arbitrage under Price Impact," Papers 1804.09151, arXiv.org, revised Dec 2018.
42. Ma, Pengcheng & Taghipour, Mehran & Cattani, Carlo, 2024. "Option pricing in the illiquid markets under the mixed fractional Brownian motion model," Chaos, Solitons & Fractals, Elsevier, vol. 182(C).
43. Ibrahim Ekren & Sergey Nadtochiy, 2022. "Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 172-225, January.
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46. Puneet Pasricha & Song-Ping Zhu & Xin-Jiang He, 2022. "A closed-form pricing formula for European options in an illiquid asset market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-18, December.
47. Li, Zhe & Zhang, Wei-Guo & Liu, Yong-Jun, 2018. "Analytical valuation for geometric Asian options in illiquid markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 175-191.
48. Isaenko, Sergei, 2010. "Portfolio choice under transitory price impact," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2375-2389, November.
49. Bruno Bouchard & Xiaolu Tan, 2019. "Understanding the dual formulation for the hedging of path-dependent options with price impact," Papers 1912.03946, arXiv.org, revised Jan 2020.
50. Kristoffer Glover & Peter W Duck & David P Newton, 2010. "On nonlinear models of markets with finite liquidity: Some cautionary notes," Published Paper Series 2010-5, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
51. Li, Zhe & Zhang, Wei-Guo & Liu, Yong-Jun, 2018. "European quanto option pricing in presence of liquidity risk," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 230-244.
52. Ahmad Reza Yazdanian & T A Pirvu, 2014. "Numerical analysis for Spread option pricing model in illiquid underlying asset market: full feedback model," Papers 1406.1149, arXiv.org.
53. Nicole Bauerle & Tamara Goll, 2023. "Nash equilibria for relative investors with (non)linear price impact," Papers 2303.18161, arXiv.org, revised Apr 2024.
54. He, Xin-Jiang & Pasricha, Puneet & Lin, Sha, 2024. "Analytically pricing European options in dynamic markets: Incorporating liquidity variations and economic cycles," Economic Modelling, Elsevier, vol. 139(C).
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