Spread Option Pricing with Finite Liquidity
Publish place: 3rd Conference on Financial Mathematics and Applications
Publish Year: 1391
Type: Conference paper
Language: English
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Document National Code:
CFMA03_173
Index date: 6 June 2015
Spread Option Pricing with Finite Liquidity 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
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Spread Option Pricing with Finite Liquidity 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