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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Detalles Bibliográficos
Autores principales: Gao, Rui, Bai, Yanfei
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2023
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10538701/
https://www.ncbi.nlm.nih.gov/pubmed/37768985
http://dx.doi.org/10.1371/journal.pone.0292324

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10538701/
https://www.ncbi.nlm.nih.gov/pubmed/37768985
http://dx.doi.org/10.1371/journal.pone.0292324

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