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Option pricing with stochastic liquidity risk: Theory and evidence

Citations

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Cited by:

  1. He, Xin-Jiang & Wei, Wenting & Lin, Sha, 2025. "A closed-form formula for pricing exchange options with regime switching stochastic volatility and stochastic liquidity," International Review of Financial Analysis, Elsevier, vol. 103(C).
  2. Li, Zhe & Zhang, Wei-Guo & Liu, Yong-Jun & Zhang, Yue, 2019. "Pricing discrete barrier options under jump-diffusion model with liquidity risk," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 347-368.
  3. Leippold, Markus & Schärer, Steven, 2017. "Discrete-time option pricing with stochastic liquidity," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 1-16.
  4. Xingchun Wang, 2021. "Pricing vulnerable options with jump risk and liquidity risk," Review of Derivatives Research, Springer, vol. 24(3), pages 243-260, October.
  5. Jingrui Li, 2026. "Equilibrium Pricing of Bitcoin Options With Stochastic Volatility, Jumps, and Liquidity Risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 46(1), pages 221-234, January.
  6. Dong Yan & Xin-Jie Huang & Guiyuan Ma & Xin-Jiang He, 2025. "Pricing American options with exogenous and endogenous transaction costs," Papers 2509.00485, arXiv.org, revised Sep 2025.
  7. Chuang, Ming-Che & Tsai, Jeffrey Tzuhao, 2024. "Determining bid-ask prices for options with stochastic illiquidity and applications to index options," Pacific-Basin Finance Journal, Elsevier, vol. 84(C).
  8. Zhang, Hongyu & Guo, Xunxiang & Wang, Ke & Huang, Shoude, 2024. "The valuation of American options with the stochastic liquidity risk and jump risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 650(C).
  9. Xin‐Jiang He & Hang Chen & Sha Lin, 2025. "A Closed‐Form Formula for Pricing European Options With Stochastic Volatility, Regime Switching, and Stochastic Market Liquidity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(5), pages 429-440, May.
  10. Bohua Wang & Xingchun Wang & Mengjie Zhao, 2025. "Valuing Vulnerable Basket Options with Stochastic Liquidity Risk in Reduced-form Models," Computational Economics, Springer;Society for Computational Economics, vol. 66(3), pages 2439-2455, September.
  11. Li, Zhe & Zhang, Weiguo & Zhang, Yue & Yi, Zhigao, 2019. "An analytical approximation approach for pricing European options in a two-price economy," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  12. Cai, Chengyou & Wang, Xingchun & Yu, Baimin, 2024. "Pricing vulnerable spread options with liquidity risk under Lévy processes," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
  13. Junkee Jeon & Geonwoo Kim, 2024. "Analytically Pricing a Vulnerable Option under a Stochastic Liquidity Risk Model with Stochastic Volatility," Mathematics, MDPI, vol. 12(17), pages 1-16, August.
  14. Yongmin Zhang & Shusheng Ding & Eric Scheffel, 2018. "Policy impact on volatility dynamics in commodity futures markets: Evidence from China," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(10), pages 1227-1245, October.
  15. Chen, Wenting & Yang, Zhao & He, Xin-Jiang, 2025. "Pricing energy futures options: The role of seasonality and liquidity," Energy Economics, Elsevier, vol. 149(C).
  16. Dong Yan & Nanyi Zhang & Junyi Guo, 2025. "A deep learning-driven iterative scheme for high-dimensional HJB equations in portfolio selection with exogenous and endogenous costs," Papers 2509.02267, arXiv.org.
  17. Lin, Sha & Chen, Meiling & He, Xin-Jiang, 2025. "Analytically pricing crude oil options under a jump-diffusion model with stochastic liquidity risk and convenience yield," The North American Journal of Economics and Finance, Elsevier, vol. 78(C).
  18. Dong Yan & Ke Zhou & Zirun Wang & Xin-Jiang He, 2025. "Portfolio selection with exogenous and endogenous transaction costs under a two-factor stochastic volatility model," Papers 2510.21156, arXiv.org, revised Nov 2025.
  19. Ziming Dong & Dan Tang & Xingchun Wang, 2023. "Pricing vulnerable basket spread options with liquidity risk," Review of Derivatives Research, Springer, vol. 26(1), pages 23-50, April.
  20. Ding, Shusheng & Cui, Tianxiang & Zheng, Dandan & Du, Min, 2021. "The effects of commodity financialization on commodity market volatility," Resources Policy, Elsevier, vol. 73(C).
  21. Puneet Pasricha & Song-Ping Zhu & Xin-Jiang He, 2022. "A closed-form pricing formula for European options in an illiquid asset market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-18, December.
  22. He, Xin-Jiang & Lin, Sha, 2023. "Analytically pricing variance and volatility swaps under a Markov-modulated model with liquidity risks," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
  23. Li, Zhe & Zhang, Wei-Guo & Liu, Yong-Jun, 2018. "Analytical valuation for geometric Asian options in illiquid markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 175-191.
  24. Xie, Linlin & Liu, Guangqiang & Liu, Boyang, 2023. "Patent pledge policy and stock price crash risk: Evidence from China," Research in International Business and Finance, Elsevier, vol. 65(C).
  25. Wang, Xingchun, 2022. "Pricing vulnerable options with stochastic liquidity risk," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
  26. Wang, Ke & Guo, Xun-xiang & Zhang, Hong-yu, 2024. "Valuations of generalized variance swaps under the jump–diffusion model with stochastic liquidity risk," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
  27. Mittal, Priya & Selvamuthu, Dharmaraja, 2025. "Vulnerable power exchange options with liquidity risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 672(C).
  28. Ke Wang & Xun‐xiang Guo & Yang‐yang Wang & Hong‐yu Zhang, 2025. "Analytically Pricing Variance Swaps Under the Hawkes Jump‐Diffusion Process With Liquidity Risks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(9), pages 1388-1408, September.
  29. He, Xin-Jiang & Pasricha, Puneet & Lu, Tuantuan & Lin, Sha, 2024. "Vulnerable options with regime switching and stochastic liquidity," The Quarterly Review of Economics and Finance, Elsevier, vol. 98(C).
  30. Xu, De-xuan & Yang, Ben-zhang & Kang, Jian-hao & Huang, Nan-jing, 2021. "Variance and volatility swaps valuations with the stochastic liquidity risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
  31. Xin‐Jiang He & Sha Lin, 2023. "Analytically pricing exchange options with stochastic liquidity and regime switching," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(5), pages 662-676, May.
  32. Li, Zhe & Zhang, Wei-Guo & Liu, Yong-Jun, 2018. "European quanto option pricing in presence of liquidity risk," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 230-244.
  33. He, Xin-Jiang & Pasricha, Puneet & Lin, Sha, 2024. "Analytically pricing European options in dynamic markets: Incorporating liquidity variations and economic cycles," Economic Modelling, Elsevier, vol. 139(C).
  34. Lo, Chien-Ling & Shih, Pai-Ta & Wang, Yaw-Huei & Yu, Min-Teh, 2019. "VIX derivatives: Valuation models and empirical evidence," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 1-21.
  35. Gao, Rui & Li, Yaqiong & Lin, Lisha, 2019. "Bayesian statistical inference for European options with stock liquidity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 518(C), pages 312-322.
  36. Yongmin Zhang & Shusheng Ding & Meryem Duygun, 2019. "Derivatives pricing with liquidity risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(11), pages 1471-1485, November.
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