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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...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Public Library of Science
2023
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| Materias: | |
| 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 |