TY - GEN
T1 - Option pricing in high volatile markets with illiquidity
AU - El Khatib, Youssef Abdul Monehm
AU - Hatemi Jarabad, Abdulnasser
PY - 2019/7/24
Y1 - 2019/7/24
N2 - This paper deals with the valuation of options in markets without liquidity and under stress. More precisely, a European option is considered when the underlying asset's dynamic is governed by a Brownian motion. Following Liu and Yong [1], a term related to the number of invested stock is embedded into the model. Moreover, the volatility of the asset is augmented by a separate function that models the abnormal increase of the volatility. Under these settings, we deal with the evaluation of European options.
AB - This paper deals with the valuation of options in markets without liquidity and under stress. More precisely, a European option is considered when the underlying asset's dynamic is governed by a Brownian motion. Following Liu and Yong [1], a term related to the number of invested stock is embedded into the model. Moreover, the volatility of the asset is augmented by a separate function that models the abnormal increase of the volatility. Under these settings, we deal with the evaluation of European options.
UR - http://www.scopus.com/inward/record.url?scp=85069960790&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85069960790&partnerID=8YFLogxK
U2 - 10.1063/1.5114100
DO - 10.1063/1.5114100
M3 - Conference contribution
AN - SCOPUS:85069960790
T3 - AIP Conference Proceedings
BT - International Conference on Numerical Analysis and Applied Mathematics, ICNAAM 2018
A2 - Simos, T.E.
A2 - Simos, T.E.
A2 - Simos, T.E.
A2 - Simos, T.E.
A2 - Tsitouras, Ch.
A2 - Simos, T.E.
PB - American Institute of Physics Inc.
T2 - International Conference on Numerical Analysis and Applied Mathematics 2018, ICNAAM 2018
Y2 - 13 September 2018 through 18 September 2018
ER -