Pricing options in an extended black scholes economy with illiquidity: Theory and empirical evidence

Review of Financial Studies

Volumn 19, Issue 2, 2006, Pages 493-529

  Cetin U ^a,b   Jarrow, R ^b   Protter, P ^c   Warachka, M ^d  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^b The Samuel Curtis Johnson Graduate School of Management   (United States)

^c Cornell University   (United States)

^d SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33645742250     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/rfs/hhj014     Document Type: Article

References (20)

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