Option pricing with an illiquid underlying asset market

By Hong Liu, Jiongmin Yong. 2005

140 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/01c266a83a05e977a5f20e4827687b4da8d47afb

Citations in the corpus

• Option pricing with linear market impact and nonlinear Black–Scholes equations (2018, unknown): “then we obtain the equation ∂tu + 1 2 σ 2 γ (1 − λγ )2 = 0, as found in [26].”