지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
이용수
초록· 키워드
오류제보하기
In this paper, we derive the nonlinear equation for Europeanoption pricing containing liquidity risk which can be dened as the inverseof the partial derivative of the underlying asset price with respect to theamount of assets traded in the ecient market. Numerical solutions areobtained by using nite element method and compared with option pricesof KOSPI200 Stock Index. These prices computed with liquidity risk areconsidered more realistic than the prices of Black-Scholes model withoutliquidity risk.
목차
등록된 정보가 없습니다.
참고문헌 (6)
참고문헌 신청
A. Krakovsky / 1999 / Gap risk in credit trading / Risk March : 65 ~ 67
A. Krakovsky / 1999 / Pricing liquidity into derivatives / Risk December : 65 ~ 67
F. Black / 1973 / The pricing of options and corporate liabilities / The Journal of Political Economy 81 : 637 ~ 654
V. Acharya / 2005 / Asset pricing with liquidity risk / Journal of Financial Economics 77 : 375 ~ 410
Y. Amihud / 1986 / Asset pricing and the bid-ask spread / Journal of Financial Economics 17 : 223 ~ 249
A. Krakovsky / 1999 / Pricing liquidity into derivatives / Risk December : 65 ~ 67
F. Black / 1973 / The pricing of options and corporate liabilities / The Journal of Political Economy 81 : 637 ~ 654
V. Acharya / 2005 / Asset pricing with liquidity risk / Journal of Financial Economics 77 : 375 ~ 410
Y. Amihud / 1986 / Asset pricing and the bid-ask spread / Journal of Financial Economics 17 : 223 ~ 249
함께 읽어보면 좋을 논문
논문 유사도에 따라 DBpia 가 추천하는 논문입니다. 함께 보면 좋을 연관 논문을 확인해보세요!
-
STOCK-PRICE MODELS AND OPTION PRICING
한국산업응용수학회 학술대회 논문집
2006 .11
-
국내 저축은행의 유동성과 가계자금대출간 관련성
Journal of The Korean Data Analysis Society
2020 .01
-
SIMULATIONS IN OPTION PRICING MODELS APPLIED TO KOSPI200
JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS
2003 .12
-
RISK MEASURE PRICING AND HEDGING IN THE PRESENCE OF TRANSACTION COSTS
Journal of applied mathematics & computing
2007 .01
-
PRICING OF POWER OPTIONS UNDER THE REGIME-SWITCHING MODEL
Journal of applied mathematics & informatics
2014 .01
-
MULTI-ASSET OPTION PRICING IN A REGIME-SWITCHING MODEL
한국산업응용수학회 학술대회 논문집
2012 .11
-
An improved binomial method for pricing Asian options
대한수학회논문집
2013 .01
-
An accurate and efficient numerical method for Black-Scholes equations
대한수학회논문집
2009 .01
-
A hybrid pricing method for multi-asset options
한국산업응용수학회 학술대회 논문집
2012 .05
-
Pricing options with credit risk in a reduced form model
JKSS(Journal of the Korean Statistical Society)
2012 .01
-
ASYMPTOTIC OPTION PRICING UNDER A PURE JUMP PROCESS
JKSS(Journal of the Korean Statistical Society)
2007 .01
-
Analytic calculation of european option pricing in stochastic volatility asset model
한국수학논문집
2012 .01
-
FINITE ELEMENT METHODS FOR THE PRICE AND THE FREE BOUNDARY OF AMERICAN CALL AND PUT OPTIONS
JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS
2008 .12
-
BARRIER OPTION PRICING UNDER THE VASICEK MODEL OF THE SHORT RATE
Journal of applied mathematics & informatics
2011 .01
-
Comparison of stochastic volatility models: Empirical study on KOSPI 200 index options
대한수학회보
2009 .01
-
THE EXISTENCE OF THE RISK-EFFICIENT OPTIONS
순수 및 응용수학
2014 .01
-
VALUATION FUNCTIONALS AND STATIC NO ARBITRAGE OPTION PRICING FORMULAS
JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS
2010 .12
-
Recursive formula for arithmetic Asian option prices
한국산업응용수학회 학술대회 논문집
2012 .11
이 논문의 저자 정보
최근 본 자료
댓글(0)
0