Open AccessOption Pricing Model with Transaction Costs and Jumps in Illiquid Markets
Author(s) -
Praewnapa Seelama,
Dawud Thongtha
Publication year - 2021
Publication title -
journal of mathematical finance
Language(s) - English
Resource type - Journals
eISSN - 2162-2434
pISSN - 2162-2442
DOI - 10.4236/jmf.2021.113020
Subject(s) - call option , black–scholes model , transaction cost , valuation of options , market liquidity , economics , rational pricing , consumption based capital asset pricing model , variable pricing , financial economics , asset (computer security) , capital asset pricing model , econometrics , microeconomics , finance , computer science , volatility (finance) , computer security