Pricing vulnerable spread options with liquidity risk under Lévy processes
Article in The North American Journal of Economics and Finance (May 2024)
The most recent citing publications are shown below. View all 5 publications that cite this research output on Dimensions.
A stochastic liquidity risk model with stochastic volatility and its applications to option pricing
Article in Stochastic Models (April 2024)
Exchange options with stochastic liquidity risk
Article in Expert Systems with Applications (August 2023)