Pricing quanto options with market liquidity risk
Pricing quanto options with market liquidity risk
About this item
Full title
Author / Creator
Gao, Rui and Bai, Yanfei
Publisher
San Francisco: Public Library of Science
Journal title
Language
English
Formats
Publication information
Publisher
San Francisco: Public Library of Science
Subjects
More information
Scope and Contents
Contents
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 this issue, we first derive the pricing formula for...
Alternative Titles
Full title
Pricing quanto options with market liquidity risk
Authors, Artists and Contributors
Author / Creator
Identifiers
Primary Identifiers
Record Identifier
TN_cdi_plos_journals_2869935616
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_plos_journals_2869935616
Other Identifiers
ISSN
1932-6203
E-ISSN
1932-6203
DOI
10.1371/journal.pone.0292324
