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Applied Economics Letters Volume 25, 2018 - Issue 6
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Original Articles

Option valuation with liquidity risk and jumps

Hai ZhangDepartment of Mathematics and Statistics, York University, Toronto, ON, CanadaView further author information
&
Hyejin KuDepartment of Mathematics and Statistics, York University, Toronto, ON, CanadaCorrespondence[email protected]
View further author information
Pages 381-387 | Published online: 16 May 2017

References

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  • Cetin, U., H. M. Soner, and N. Touzi. 2010. “Option Hedging for Small Investors under Liquidity Costs.” Finance and Stochastics 14 (3): 317–341. doi:10.1007/s00780-009-0116-x.
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  • Ku, H., K. Lee, and H. Zhu. 2012. “Discrete Time Hedging with Liquidity Risk.” Finance Research Letters 9 (3): 135–143. doi:10.1016/j.frl.2012.02.002.
  • Lim, A. E. 2005. “Mean-Variance Hedging When There are Jumps.” SIAM Journal on Control and Optimization 44 (5): 1893–1922. doi:10.1137/040610933.
  • Merton, R. C. 1976. “Option Pricing When Underlying Stock Returns are Discontinuous.” Journal of Financial Economics 3 (1–2): 125–144. doi:10.1016/0304-405X(76)90022-2.
  • Sorokin, Y., and H. Ku. 2016. “Option Replication in Discrete Time with the Cost of Illiquidity.” Communications in Mathematical Sciences 14: 1947–1962. doi:10.4310/CMS.2016.v14.n7.a8.

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