Spread Option Pricing with Finite Liquidity
Publish place: 3rd Conference on Financial Mathematics and Applications
Publish Year: 1391
نوع سند: مقاله کنفرانسی
زبان: English
View: 649
This Paper With 6 Page And PDF Format Ready To Download
- Certificate
- من نویسنده این مقاله هستم
استخراج به نرم افزارهای پژوهشی:
شناسه ملی سند علمی:
CFMA03_173
تاریخ نمایه سازی: 16 خرداد 1394
Abstract:
We discuss the pricing and hedging of European spread options on correlated assets when, incontrast to the standard framework and consistent with a market with imperfect liquidity,the option trader's trading in the stock market has a direct impact on one of the stocksprice. We consider a full
Keywords:
Authors
A Shidfar
Iran University of Science and Technology
Kh Paryab
Iran University of Science and Technology
A.R Yazdanian
Iran University of Science and Technology