Pricing quanto options with market liquidity risk.
This paper investigates the pricing problem of quanto options with market liquidity risk using the Bayesian method. The increasing volatility of global financial markets has made liquidity risk a significant factor that should be taken into consideration while evaluating option prices. To address th...
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| Asıl Yazarlar: | , |
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| Materyal Türü: | Artigo |
| Dil: | Inglês |
| Baskı/Yayın Bilgisi: |
Public Library of Science (PLoS)
2023-01-01
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| Seri Bilgileri: | PLoS ONE |
| Online Erişim: | https://doi.org/10.1371/journal.pone.0292324 |
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