Pricing derivatives under jump-diffusion model in the underlying in markets with stochastic liquidity
One failure of the Black-Scholes valuation model is to assume that the trading activities of agents have no effect on prices, an assumption that it can only be fulfilled in perfectly liquid markets, making the model very restrictive. This element has already been considered in some studies that inco...
Facultad de Finanzas, Gobierno y Relaciones Internacionales
|Acceso en línea:||https://revistas.uexternado.edu.co/index.php/odeon/article/view/7838|