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...

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Detalles Bibliográficos
Autor Principal: Moreno Trujillo, John Freddy
Formato: Artículo (Article)
Lenguaje:Español (Spanish)
Publicado: Facultad de Finanzas, Gobierno y Relaciones Internacionales 2022
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