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  • 标题:Super-replicating Bounds on European Option Prices when the Underlying Asset is Illiquid
  • 本地全文:下载
  • 作者:João Amaro de Matos ; Paula Antão
  • 期刊名称:Economics Bulletin
  • 电子版ISSN:1545-2921
  • 出版年度:2001
  • 卷号:7
  • 出版社:Economics Bulletin
  • 摘要:We derive super-replicating bounds on European option prices when the underlying asset is illiquid. Illiquidity is taken as the impossibility of transacting the underlying asset at some points in time, generating market incompleteness. We conclude that option price bounds follow a Black-Scholes partial differential equation where the volatility term is adjusted to reflect different levels of illiquidity.
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