European Option Pricing with Liquidity Shocks
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- Robert J. Elliott & Leunglung Chan & Tak Kuen Siu, 2005. "Option pricing and Esscher transform under regime switching," Annals of Finance, Springer, vol. 1(4), pages 423-432, October.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-05-15 (All new papers)
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