"A closed-form pricing formula for European options with market liquidity risk."

Puneet Pasricha, Song-Ping Zhu, Xin-Jiang He (2022)

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DOI: 10.1016/J.ESWA.2021.116128

access: closed

type: Journal Article

metadata version: 2023-08-28

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Puneet Pasricha, Song-Ping Zhu, Xin-Jiang He:
A closed-form pricing formula for European options with market liquidity risk. Expert Syst. Appl. 189: 116128 (2022)

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