Market liquidity and its effect on option valuation and hedging

Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences

Volumn 357, Issue 1758, 1999, Pages 2093-2108

  Putyatin, V E ^a,b   Dewynne, J N ^a,c  

^a UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

^b LEHMAN BROTHERS   (United States)

^c Mathematical Institute   (United Kingdom)

Author keywords

Asymptotic methods; Bid ask spread; Market liquidity; Option pricing; Transaction costs

Indexed keywords

EID: 0346968437     PISSN: 1364503X     EISSN: None     Source Type: Journal    
DOI: 10.1098/rsta.1999.0419     Document Type: Article

References (15)

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