{"title":"A stochastic liquidity risk model with stochastic volatility and its applications to option pricing","authors":"Xin-Jiang He, Sha Lin","doi":"10.1080/15326349.2024.2332326","DOIUrl":null,"url":null,"abstract":"We investigate the pricing problem of European options when the underlying stock is associated with liquidity risks. Under our established framework, stock prices are assumed to follow the Heston s...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":"22 1","pages":""},"PeriodicalIF":0.5000,"publicationDate":"2024-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Stochastic Models","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1080/15326349.2024.2332326","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
引用次数: 0
Abstract
We investigate the pricing problem of European options when the underlying stock is associated with liquidity risks. Under our established framework, stock prices are assumed to follow the Heston s...
期刊介绍：
Stochastic Models publishes papers discussing the theory and applications of probability as they arise in the modeling of phenomena in the natural sciences, social sciences and technology. It presents novel contributions to mathematical theory, using structural, analytical, algorithmic or experimental approaches. In an interdisciplinary context, it discusses practical applications of stochastic models to diverse areas such as biology, computer science, telecommunications modeling, inventories and dams, reliability, storage, queueing theory, mathematical finance and operations research.
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